Robust Forecasting of Non-Stationary Time Series

Research, Preprint OPEN
Croux, C. ; Fried, R. ; Gijbels, I. ; Mahieu, K. (2010)
  • Publisher: Econometrics
  • Subject: Heteroscedasticity;Non-parametric regression;Prediction;Outliers;Robustness | Heteroscedasticity; Non-parametric regression; Prediction; Outliers; Robustness
    • 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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