Real-Time Signal Extraction: a Shift of Perspective
نویسندگان
چکیده
Real-time signal extraction (RTSE) concerns the determination of optimal asymmetric filters towards end a time series where ⎯otherwise desirable⎯ symmetric cannot be applied anymore. The attractiveness this particular estimation problem resides in generality its scope. For illustrative purposes we here stress realtime monitoring US-economy as well multi-step ahead forecasting. Traditionally, addressed by RTSE is tackled methodological framework classical maximum likelihood paradigm. We question adequacy general parametric approach. In particular, review statistical apparatus⎯the DFA⎯ consisting optimization criteria, diagnostics and tests which accounts for alternative user-relevant aspects problem. Interestingly, customization relates to an uncertainty principle entails fundamental shift perspective. As result, emerges autonomous discipline with proprietary concepts statistics. With little suggestive power may interpret DFA generalization traditional model-based approach more enquiries about future than one-step inference.
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ژورنال
عنوان ژورنال: Estudios de economía aplicada
سال: 2021
ISSN: ['1133-3197', '1697-5731']
DOI: https://doi.org/10.25115/eea.v28i3.4739