Mean estimation in the presence of change points

✍ Scribed by M. Rueda; I. Sánchez-Borrego; A. Arcos

• Publisher: Elsevier Science
• Year: 2009
• Tongue: English
• Weight: 375 KB
• Volume: 22
• Category: Article
• ISSN: 0893-9659
• DOI: 10.1016/j.aml.2009.01.051

✦ Synopsis

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 jumppreserving counterparts are used for mean estimation and an empirical comparison between the methods is performed.