An Overview of Lulu Smoothers With Application to Financial Data

W J Conradie, T de Wet and M D Jankowitz

Studies in Economics and Econometrics, 2005, vol. 29, issue 1, 97-121

Abstract: LULU smoothers is a class of non-linear smoothers introduced by Rohwer (1989) and has since been studied extensively by him, from a mathematical point of view, culminating in the publishing of Rohwer (2005). It has also been successfully applied in image processing, engineering and the earth sciences. The purpose of this paper is to discuss linear and non-linear smoothers very briefly and to introduce LULU smoothers to the econometrical and statistical literature as an alternative to the existing linear and non-linear smoothers. An overview of LULU smoothers will be given and their most important properties will be discussed. Their attractive way of dealing with impulsive noise in the form of blockpulses and of decomposing the variation in a series will be highlighted and illustrated by applying it to the Standard and Poor 500 series.

Date: 2005
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DOI: 10.1080/10800379.2005.12106383

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