Constructing a quasilinear moving average using the scaling function
AbstractThe scaling function from multiresolution analysis can be used to constuct a smoothing tool in the context of time series analysis. We give a time series smoothing function for which we show the properties of a quasilinear moving average. Furthermore; we discuss its features and especially derive the distributional properties of our quasilinear moving average given some simple underlying stochastic processes. Eventually we compare it to existing smoothing methods in order to motivate its application --
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Bibliographic InfoPaper provided by Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW) in its series IWQW Discussion Paper Series with number 12/2009.
Date of creation: 2009
Date of revision:
Scaling function; Quasilinear moving average; Influence function;
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