Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1709037 | Applied Mathematics Letters | 2009 | 5 Pages |
Abstract
In this study we address the problem of the mean estimation of the IBEX-35 index stock quotes in the presence of change points. We rely on nonparametric regression methods for detecting and estimating changes points, and for estimating the discontinuous regression function. Model-assisted and model-based estimators and their jump-preserving counterparts are used for mean estimation and an empirical comparison between the methods is performed.
Keywords
Related Topics
Physical Sciences and Engineering
Engineering
Computational Mechanics
Authors
M. Rueda, I. Sánchez-Borrego, A. Arcos,