Robust non-parametric smoothing of non-stationary time series

Abstract

Motivated by the need of extracting local trends and low frequency components in non-stationary time series, this paper discusses methods of robust non-parametric smoothing. Basic approach is the combination of the parametric M-estimation with kernel and local polynomial regression methods. The result is an iterative estimator that retains a linear structure, but has kernel weights also in the direction of the prediction errors. The design of smoothing coefficients is carried out with robust cross-validation criteria and rules of thumb. The method works well both to remove the influence of patches of outliers and to detect the local breaks and persistent structural change in time series.