Quantile and expectile smoothing by F-transform.
Luciano Stefanini · RePEc: Research Papers in Economics · 2015
In this paper we illustrate the F-transform based on generalized fuzzy partitions as a tool for quantile and expectile smoothing. This allows to represent a time series in terms of a fuzzy-valued function whose levelcuts are modeled by F-transform and estimated by quantile or expectile regression. The proposed methodology is illustrated on several historical ?nancial time series in order to highlight its strong properties . Length: 17 pages