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Local Trigonometric Methods for Time Series Smoothing.

The thesis is concerned with local trigonometric regression methods. The aim was to develop a method for extraction of cyclical components in time series. The main results of the thesis are the following.
First, a generalization of the filter proposed by Christiano and Fitzgerald is furnished for the smoothing of ARIMA(p,d,q) process.
Second, a local trigonometric filter is built, with its statistical properties.
Third, they are discussed the convergence properties of trigonometric estimators, and the problem of choosing the order of the model.
A large scale simulation experiment has been designed in order to assess the performance of the proposed models and methods. The results show that local trigonometric regression may be a useful tool for periodic time series analysis.

Identiferoai:union.ndltd.org:unibo.it/oai:amsdottorato.cib.unibo.it:6494
Date15 May 2014
CreatorsGentile, Maria <1981>
ContributorsLuati, Alessandra
PublisherAlma Mater Studiorum - Università di Bologna
Source SetsUniversità di Bologna
LanguageEnglish
Detected LanguageEnglish
TypeDoctoral Thesis, PeerReviewed
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess

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