On robust local polynomial estimation with long-memory errors
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Date
2000
Journal Title
Journal ISSN
Volume Title
Publisher
Universitätsbibliothek Dortmund
Abstract
Prediction in time series models with a trend requires reliable estimation of the trend function at the right end of the observed series. Local polynomial smoothing is a suitable tool because boundary corrections are included implicitly. However, outliers may lead to unreliable estimates, if least squares regression is used. In this paper, local polynomial smoothing based on M