Mean estimation in the presence of change points |
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Authors: | M Rueda I Sánchez-Borrego A Arcos |
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Institution: | University of Granada, Spain |
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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. |
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