Prediction and nonparametric estimation for time series analysis with heavy tails
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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]
Collections | ANU Research Publications |
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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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