The paper concerns real time estimation of the underlying trend of a time series by means of filters that arise from fitting a local polynomial of a given degree with a constant bandwidth. The direct asymmetric filters that arise by fitting a local polynomial at the boundaries are analysed and a new class of real time filters is developed.
Local polynomial regression in real time / T. Proietti; A. Luati. - ELETTRONICO. - (2007), pp. 233-244. (Intervento presentato al convegno intermediate conference of the Italian Statistical Society, Risk and Prediction tenutosi a Venezia nel 6-8 giugno 2007).
Local polynomial regression in real time
LUATI, ALESSANDRA
2007
Abstract
The paper concerns real time estimation of the underlying trend of a time series by means of filters that arise from fitting a local polynomial of a given degree with a constant bandwidth. The direct asymmetric filters that arise by fitting a local polynomial at the boundaries are analysed and a new class of real time filters is developed.File in questo prodotto:
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