SOME THEORY ON M‐SMOOTHING OF TIME SERIES
- 14 May 1986
- journal article
- Published by Wiley in Journal of Time Series Analysis
- Vol. 7 (3) , 191-204
- https://doi.org/10.1111/j.1467-9892.1986.tb00502.x
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.Keywords
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