Forecasting with Optimized Moving Local Regression

Valery V. Fedorov, Peter Hackl, Werner Müller

Publikation: Working/Discussion PaperWU Working Paper

Abstract

This paper empirically demonstrates the relative merits of the optimal choice of the weight function in a moving local regression as suggested by Fedorov et al., (1993) over traditional weight functions which ignore the form of the local model. The discussion is based on a task that is imbedded into the smoothing methodology, namely the forecasting of business time series data with the help of a one-sided moving local regression model. (author's abstract)
OriginalspracheEnglisch
ErscheinungsortVienna
HerausgeberDepartment of Statistics and Mathematics, WU Vienna University of Economics and Business
PublikationsstatusVeröffentlicht - 1992

Publikationsreihe

NameForschungsberichte / Institut für Statistik
Nr.30

WU Working Paper Reihe

  • Forschungsberichte / Institut für Statistik

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