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Prediction and nonparametric estimation for time series analysis with heavy tails

Hall, Peter; Peng, L; Yao, Qiwei

Description

Motivated by prediction problems for time series with heavy-tailed marginal distributions, we consider methods based on 'local least absolute deviations' for estimating a regression median from dependent data. Unlike more conventional 'local median' methods, which are in effect based on locally fitting a polynomial of degree 0, techniques founded on local least absolute deviations have quadratic bias right up to the boundary of the design interval. Also in contrast to local least-squares...[Show more]

CollectionsANU Research Publications
Date published: 2002
Type: Journal article
URI: http://hdl.handle.net/1885/72707
Source: Journal of Time Series Analysis
DOI: 10.1111/1467-9892.00266

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