The paper focuses on the adaptation of local polynomial filters at the end of the sample period. We show that for real time estimation of signals (i.e. exactly at the boundary of the time support) we cannot rely on the automatic adaptation of the local polynomial smoothers, since the direct real...

This paper provides a necessary and sufficient condition for asymptotic efficiency of a nonparametric estimator of the generalized autocovariance function of a stationary random process. The generalized autocovariance function is the inverse Fourier transform of a power transformation of the...

We study the properties of an M-estimator arising from the minimisation of an integrated version of the quantile loss function. The estimator depends on a tuning parameter which controls the degree of robustness. We show that the sample median and the sample mean are obtained as limit cases....

We develop a semiparametric model to track a large number of quantiles of a time series. The model satisfies the condition of non crossing quantiles and the defining property of fixed quantiles. A key feature of the specification is that the updating scheme for time varying quantiles at each...