Forecasting with Optimized Moving Local Regression

Fedorov, Valery V. and Hackl, Peter and Müller, Werner (1992) Forecasting with Optimized Moving Local Regression. Forschungsberichte / Institut für Statistik, 30. Department of Statistics and Mathematics, WU Vienna University of Economics and Business, Vienna.


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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)

Item Type: Paper
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 11 Jul 2006 09:17
Last Modified: 22 Oct 2019 00:41


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