Estimating a parametric trend component in a continuous-time jump-type process
نویسندگان
چکیده
منابع مشابه
Jump process for the trend estimation of time series
A jump process approach is proposed for the trend estimation of time series. The proposed jump process estimator can locally minimize two important features of a trend, the smoothness and 0delity, and explicitly balance the fundamental tradeo2 between them. A weighted average form of the jump process estimator is derived. The connection of the proposed approach to the Hanning 0lter, Gaussian ke...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1988
ISSN: 0304-4149
DOI: 10.1016/0304-4149(88)90098-1