Robust Forecasting of Non-Stationary Time Series

Research, Report, Preprint English OPEN
Croux, Christophe; Fried, R.; Gijbels, Irène; Mahieu, Koen;
  • Publisher: Econometrics
  • Subject: Non-parametric regression | C14 - Semiparametric and Nonparametric Methods: General | Heteroscedasticity | Heteroscedasticity;Non-parametric regression;Prediction;Outliers;Robustness | Heteroscedasticity; Non-parametric regression; Prediction; Outliers; Robustness | Prediction | Robustness | Outliers | C53 - Forecasting and Prediction Methods ; Simulation Methods
    • jel: jel:C53 | jel:C14

This paper proposes a robust forecasting method for non-stationary time series. The time series is modelled using non-parametric heteroscedastic regression, and fitted by a localized MM-estimator, combining high robustness and large efficiency. The proposed method is sh... View more
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