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Some Theory On M‐Smoothing Of Time Series

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  • Wolfgang Härdle
  • Pham‐Dinh Tuan

Abstract

. In recent years many robust smoothing procedures for time series have been introduced. Their extreme nonlinearity made them mathematically untractable and their behaviour was mostly analysed by means of Monte Carlo studies. In this paper we develop some mathematical theory of a specific class of nonlinear smoothers. We investigate the asymptotics of so‐called M‐smoothers and discuss robustness of M‐smoothers in some special cases.

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  • Wolfgang Härdle & Pham‐Dinh Tuan, 1986. "Some Theory On M‐Smoothing Of Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 7(3), pages 191-204, May.
    • Handle: RePEc:bla:jtsera:v:7:y:1986:i:3:p:191-204
    DOI: 10.1111/j.1467-9892.1986.tb00502.x
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    Cited by:

    1. Bonsoo Koo & Oliver Linton, 2013. "Let's get LADE: robust estimation of semiparametric multiplicative volatility models," CeMMAP working papers 11/13, Institute for Fiscal Studies.

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