Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach
نویسندگان
چکیده
We provide a signal modality analysis to characterize and detect nonlinearity schemes in the US Industrial Production Index time series. The analysis is achieved by using the recently proposed ’delay vector variance’ (DVV) method, which examines local predictability of a signal in the phase space to detect the presence of determinism and nonlinearity in a time series. Optimal embedding parameters used in the DVV analysis are obtained via a differential entropy based method using wavelet-based surrogates. A complex Morlet wavelet is employed to detect and characterize the US business cycle. A comprehensive analysis of the feasibility of this approach is provided. Our results coincide with the business cycles peaks and troughs dates published by the National Bureau of Economic Research (NBER).
منابع مشابه
Anticipating business-cycle turning points in real time using density forecasts from a VAR
For the timely detection of business-cycle turning points we suggest to use mediumsized linear systems (subset VARs with automated zero restrictions) to forecast the relevant underlying variables, and to derive the probability of the turning point from the forecast density as the probability mass below (or above) a given threshold value. We show how this approach can be used in real time in the...
متن کاملFormation interface detection using Gamma Ray log: A novel approach
There are two methods for identifying formation interface in oil wells: core analysis, which is a precise approach but costly and time consuming, and well logs analysis, which petrophysists perform, which is subjective and not completely reliable. In this paper, a novel coupled method was proposed to detect the formation interfaces using GR logs. Second approximation level (a2) of GR log gained...
متن کاملA robust wavelet based profile monitoring and change point detection using S-estimator and clustering
Some quality characteristics are well defined when treated as response variables and are related to some independent variables. This relationship is called a profile. Parametric models, such as linear models, may be used to model profiles. However, in practical applications due to the complexity of many processes it is not usually possible to model a process using parametric models.In these cas...
متن کاملبررسی تقارن ادوار تجاری با رویکرد آنالیز موجک
Symmetry or asymmetry of the business cycle is an important issue in order to select the behavior patterns and prediction of macroeconomic fluctuations. Factors such as oil prices, the financial crisis, uncertainty, the delay on learning, etc., Can cause lack of symmetry in the cycle. Decomposition of the business cycle by wavelet transform, which is strong instrument for processing data, and r...
متن کاملA Novel Finite-Element-Based Algorithm for Damage Detection in the Pressure Vessels Using the Wavelet Approach
In this investigation a suitable algorithm for the detection of cracks in the pressure vessels is presented. The equations of motion for the vessel are obtained and transferred into the wavelet space in a simplified form resulted from time and position approximations. The locations of cracks are randomly distributed in different regions of the structure to cover the whole geometry of the pressu...
متن کامل