In this paper we illustrate the F-transform based on generalized fuzzy partitions as a tool for quantile and expectile smoothing. This allows to represent a time series in terms of a fuzzy-valued function whose level-cuts are modeled by F-transform and estimated by quantile or expectile regression. The proposed methodology is illustrated on several historical financial time series in order to highlight its strong properties .
Quantile and expectile smoothing by F-trasform
Stefanini, Luciano
;Sorini, Laerte
;Guerra Maria Letizia
2015
Abstract
In this paper we illustrate the F-transform based on generalized fuzzy partitions as a tool for quantile and expectile smoothing. This allows to represent a time series in terms of a fuzzy-valued function whose level-cuts are modeled by F-transform and estimated by quantile or expectile regression. The proposed methodology is illustrated on several historical financial time series in order to highlight its strong properties .File in questo prodotto:
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