Quantile and expectile smoothing by F-transform

Luciano Stefanini ()
Authors registered in the RePEc Author Service: Maria Letizia Guerra

No 1512, Working Papers from University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini

Abstract: In this paper we illustrate the F-transform based on generalized fuzzy partitions as a tool for quantile and expectile smoothing. This allows to represent a time series in terms of a fuzzy-valued function whose levelcuts are modeled by F-transform and estimated by quantile or expectile regression. The proposed methodology is illustrated on several historical ?nancial time series in order to highlight its strong properties . Length: 17 pages

JEL-codes: C22 C63 (search for similar items in EconPapers)
Date: 2015, Revised 2015
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.econ.uniurb.it/RePEc/urb/wpaper/WP_15_12.pdf First version, 2015 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:urb:wpaper:15_12

Access Statistics for this paper

More papers in Working Papers from University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini Contact information at EDIRC.
Bibliographic data for series maintained by Carmela Nicoletti ().