Metoda jądrowa w analizie finansowych szeregów czasowych
Kernel method in the analysis of financial time series

Summary/Abstract: In the analysis of financial time series, methods based on kernel statistics are used. The estimation and verification of statistical hypotheses based on kernel methods are useful and widely used tools in the analysis of financial time series. The paper presents the chosen methods of kernel ones, including the nonparametric estimation of the probability density function. The modifications of the kernel methods are presented, taking into account the nature of the financial time series. An example of application of kernel method is also presented, with comments on the choice of method’s parameters.

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