time-series smoothing

From: Jake (wh_at_ever.com)
Date: 03/17/05 

Date: Thu, 17 Mar 2005 08:14:41 -0800

I have a problem of an apparent cross-disciplinary nature so I hope that
justifies the cross-posting.

I'm thinking of using Theil's U statistic as a parameter selection
criterion for a time-series smoother. As a result, I have several
questions.

1] I have never heard of Theil's U being used as a smoothing parameter
selection criterion before. Is this because it's a bad idea? Is there
a better criterion?

2] Would it make sense to use Nelder-Mead (downhill simplex) method for
minimizing, even though this problem seems to be a constrained
optimization? There are three parameters, all constrained to positive
values and one constrained to integer values, so differentiation doesn't
seem to be an option. Is there a better derivative-free optimizer for
this problem? Is there a differentiation method that would work better,
even for a function that is only partially differentiable?

Thanks for your inputs.

Jake

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