Signal Extraction : Efficient Estimation, Unit Root'-Tests and Early Detection of Turning Points
The material contained in this book originated in interrogations about modern practice in time series analysis. Why do we use models optimized with respect to one-step ahead foreca- ing performances for applications involving multi-step ahead forecasts? Why do we infer 'long-term' properti...
Salvato in:
| Autore principale: | |
|---|---|
| Natura: | Livre numérique |
| Lingua: | Anglais |
| Pubblicazione: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
2005.
Cham : Springer Nature |
| Serie: | Lecture Notes in Economics and Mathematical Systems
547 |
| Accesso online: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Signal Extraction, Texte imprimé, 9783540803577 • Signal Extraction, Texte imprimé, 9783540229353 |
Sommario:
- Theory
- Model-Based Approaches
- QMP-ZPC Filters
- The Periodogram
- Direct Filter Approach (DFA)
- Finite Sample Problems and Regularity
- Empirical Results
- Empirical Comparisons : Mean Square Performance
- Empirical Comparisons : Turning Point Detection
- Conclusion.