On robust local polynomial estimation with long-memory errors
Jan Beran, Yuanhua Feng, Ghosh, Sucharita, Philipp Sibbertsen · RePEc: Research Papers in Economics · 2000
Prediction in time series models with a trend requires reliable estimation of the trend function at the right end of the observed series. Local polynomial smoothing is a suitable tool because boundary corrections are included implicitly. However, outliers may lead to unreliable estimates, if least squares regression is used. In this paper, local polynomial smoothing based on M