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Lissage robuste de séries chronologiques. Une étude expérimentale

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  • Dominique Ladiray
  • Nicole Roth

Abstract

The visual information on a series may be greatly enhanced by computing and plotting smoothed points. Among the methods employed, non-linear smoothers based upon running medians provide a practical method of extracting a smooth curve from data involving long-tailed or contaminated noise. This article summarises some of the smoothers introduced by Tukey and Velleman and attempts to define logical rules for combining elementary operators. The smoothers thus defined are then analysed by means of Monte-Carlo studies in order to test their robustness and lowpass transter characteristics. Finally, some practical rules are derived.

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  • Dominique Ladiray & Nicole Roth, 1987. "Lissage robuste de séries chronologiques. Une étude expérimentale," Annals of Economics and Statistics, GENES, issue 5, pages 147-181.
    • Handle: RePEc:adr:anecst:y:1987:i:5:p:147-181
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