The Application of Kernel Smoothing to Time Series Data
2006
There are already a lot of models to fit a set of stationary time series, such as AR, MA, and ARMA models. For the non-stationary data, an ARIMA or seasonal ARIMA models can be used to fit the given data. Moreover, there are also many statistical softwares that can be used to build a stationary or non-stationary time series model for a given set of time series data, such as SAS, SPLUS, etc. However, some statistical softwares wouldn’t work well for small samples with or without missing data, especially for small time series data with seasonal trend. A nonparametric smoothing technique to build a forecasting model for a given small seasonal time series data is carried out in this paper. And then, both the method provided in this paper and that in SAS package are applied to the modeling of international airline passengers data respectively, the comparisons between the two methods are done afterwards. The results of the comparison show us the method provided in this paper has superiority over SAS’s method.
Keywords:
- Mathematical optimization
- Smoothing
- Kernel (statistics)
- Kernel embedding of distributions
- Kernel principal component analysis
- Kernel density estimation
- Additive smoothing
- Variable kernel density estimation
- Mathematics
- Radial basis function kernel
- Missing data
- Time series
- Statistics
- Nonparametric regression
- Data mining
- Autoregressive integrated moving average
- Kernel smoother
- Correction
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- Cite
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