Signal Extraction for Non-Stationary Multivariate Time Series with Illustrations for Trend Inflation
نویسندگان
چکیده
منابع مشابه
Signal Extraction for Nonstationary Multivariate Time Series with Illustrations for Trend Inflation
This paper advances the theory and methodology of signal extraction by introducing asymptotic and finite sample formulas for optimal estimators of signals in nonstationary multivariate time series. Previous literature has considered only univariate or stationary models. However, in current practice and research, econometricians, macroeconomists, and policymakers often combine related series tha...
متن کاملA new adaptive exponential smoothing method for non-stationary time series with level shifts
Simple exponential smoothing (SES) methods are the most commonly used methods in forecasting and time series analysis. However, they are generally insensitive to non-stationary structural events such as level shifts, ramp shifts, and spikes or impulses. Similar to that of outliers in stationary time series, these non-stationary events will lead to increased level of errors in the forecasting pr...
متن کاملDescriptive Econometrics for Non-stationary Time Series with Empirical Illustrations By
SUMMARY Recent work by the author on methods of spatial density analysis for time series data with stochastic trends is reviewed. The methods are extended to include processes with deterministic trends, formulae for the mean spatial density are given, and the limits of sample moments of non-stationary data are shown to take the form of moments with respect to the underlying spatial density, ana...
متن کاملTime-Frequency Based Feature Extraction for Non-Stationary Signal Classification
Biosignal recordings are useful for extracting information about the functional state of an organism. For this reason, such recordings are widely used as tools for supporting medical decision. Nevertheless, reaching a diagnostic decision based on biosignal recordings normally requires analysis of long data records by specialized medical personnel. In several cases, specialized medical attention...
متن کاملUsing Wavelets and Splines to Forecast Non-Stationary Time Series
This paper deals with a short term forecasting non-stationary time series using wavelets and splines. Wavelets can decompose the series as the sum of two low and high frequency components. Aminghafari and Poggi (2007) proposed to predict high frequency component by wavelets and extrapolate low frequency component by local polynomial fitting. We propose to forecast non-stationary process u...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2014
ISSN: 0143-9782
DOI: 10.1111/jtsa.12102