Expectile Smoothing using F.transform
Maria Letizia Guerra, Luciano Stefanini · 2013
In this paper, we will illustrate the F-transform based on generalized fuzzy partitions as a tool for expectile smoothing.This allows to represent a time series in terms of a fuzzy-valued function whose level-cuts are modeled by F-transform and estimated by expectile regression.The proposed methodology is illustrated on real economic and …nancial time series.