SOME THEORY ON M‐SMOOTHING OF TIME SERIES

Wolfgang Härdle and Pham‐Dinh Tuan

Journal of Time Series Analysis, 1986, vol. 7, issue 3, 191-204

Abstract: 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.

Date: 1986
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