LAUSR

Improved local polynomial estimation in time series regression

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0 Published in 2018 at "Journal of Nonparametric Statistics"

DOI: 10.1080/10485252.2017.1402118

Abstract: ABSTRACT We propose a modification of local polynomial estimation which improves the efficiency of the conventional method when the observation errors are correlated. The procedure is based on a pre-transformation of the data as a… read more here.

Keywords: regression; local polynomial; estimator; improved local ... See more keywords