Read Signal Extraction: Efficient Estimation, 'Unit Root'-Tests and Early Detection of Turning Points (Lecture Notes in Economics and Mathematical Systems, 547)

Signal Extraction: Efficient Estimation, 'Unit Root'-Tests and Early Detection of Turning Points (Lecture Notes in Economics and Mathematical Systems, 547)

Marc Wildi

4.9/5 (10948 ratings)

Description:The book provides deep insights into the signal extraction problem - especially at the boundary of a sample, where asymmetric filters must be used - and how to solve it optimally.; The traditional model-based approach (TRAMO/SEATS or X-12-ARIMA) is an inefficient estimation method because it relies on one-step ahead forecasting performances (of a model) whereas the signal extraction problem implicitly requires good multi-step ahead forecasts also.; Unit roots are important properties of the input signal because they generate a set of constraints for the best extraction filter.; Since traditional tests essentially rely on one-step ahead forecasting performances, new tests are presented here which implicitly account for multi-step ahead forecasting performances too.; The gain in efficiency obtained by the new estimation method is analyzed in great detail, using simulated data as well as 'real world' time series.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Signal Extraction: Efficient Estimation, 'Unit Root'-Tests and Early Detection of Turning Points (Lecture Notes in Economics and Mathematical Systems, 547). To get started finding Signal Extraction: Efficient Estimation, 'Unit Root'-Tests and Early Detection of Turning Points (Lecture Notes in Economics and Mathematical Systems, 547), you are right to find our website which has a comprehensive collection of manuals listed.
Our library is the biggest of these that have literally hundreds of thousands of different products represented.

Pages: —

Format: PDF, EPUB & Kindle Edition

Publisher: —

Release: —

ISBN: 3540229353

Description: The book provides deep insights into the signal extraction problem - especially at the boundary of a sample, where asymmetric filters must be used - and how to solve it optimally.; The traditional model-based approach (TRAMO/SEATS or X-12-ARIMA) is an inefficient estimation method because it relies on one-step ahead forecasting performances (of a model) whereas the signal extraction problem implicitly requires good multi-step ahead forecasts also.; Unit roots are important properties of the input signal because they generate a set of constraints for the best extraction filter.; Since traditional tests essentially rely on one-step ahead forecasting performances, new tests are presented here which implicitly account for multi-step ahead forecasting performances too.; The gain in efficiency obtained by the new estimation method is analyzed in great detail, using simulated data as well as 'real world' time series.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Signal Extraction: Efficient Estimation, 'Unit Root'-Tests and Early Detection of Turning Points (Lecture Notes in Economics and Mathematical Systems, 547). To get started finding Signal Extraction: Efficient Estimation, 'Unit Root'-Tests and Early Detection of Turning Points (Lecture Notes in Economics and Mathematical Systems, 547), you are right to find our website which has a comprehensive collection of manuals listed.
Our library is the biggest of these that have literally hundreds of thousands of different products represented.

Special Offer | $0.00

Special Offer! | $0.00

Signal Extraction: Efficient Estimation, 'Unit Root'-Tests and Early Detection of Turning Points (Lecture Notes in Economics and Mathematical Systems, 547)

Signal Extraction: Efficient Estimation, 'Unit Root'-Tests and Early Detection of Turning Points (Lecture Notes in Economics and Mathematical Systems, 547)

More Books

Marcus Wilding: Duke of Pleasure (Dangerous Dukes, #1)

Marcus Wilding: Duke of Pleasure (Dangerous Dukes, #1)

Signal Extraction

Signal Extraction

Schätzung, Diagnose und Prognose nicht-linearer SETAR-Modelle (Wirtschaftswissenschaftliche Beiträge) (German Edition)

Schätzung, Diagnose und Prognose nicht-linearer SETAR-Modelle (Wirtschaftswissenschaftliche Beiträge) (German Edition)

The Regency Season: Dangerous Dukes: Marcus Wilding: Duke of Pleasure / Zachary Black: Duke of Debauchery / Darian Hunter: Duke of Desire

The Regency Season: Dangerous Dukes: Marcus Wilding: Duke of Pleasure / Zachary Black: Duke of Debauchery / Darian Hunter: Duke of Desire

Wild Bleak Bohemia: Marcus Clarke, Adam Lindsay Gordon and Henry Kendall: A Documentary

Wild Bleak Bohemia: Marcus Clarke, Adam Lindsay Gordon and Henry Kendall: A Documentary

Building Self Confidence in Math

Building Self Confidence in Math

MARCUS CLARKE - For the Term of His Natural Life, short stories, critical essays and journalism

MARCUS CLARKE - For the Term of His Natural Life, short stories, critical essays and journalism