The problem of smoothing a time series for extracting its low frequency characteristics, collectively called its trend, is considered. A competitive approach is proposed and compared with existing methods in choosing the optimal degree of smoothing based on the distribution of the residuals from the smooth trend.
Thomakos, Dimitrios D.
"Median-Unbiased Optimal Smoothing and Trend Extraction,"
Journal of Modern Applied Statistical Methods:
1, Article 15.
Available at: http://digitalcommons.wayne.edu/jmasm/vol9/iss1/15