Evaluation of Recursive Detection Methods for Turning Points in Financial Time Series

DOI10.1111/j.1467-842X.2012.00681.xzbMath1335.91114MaRDI QIDQ2802801

Carlo Grillenzoni

Publication date: 27 April 2016

Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)

zbMATH Keywords

time-varying parametersexponential smoothingadaptive estimationprediction errorsgain maximisation

Mathematics Subject Classification ID

Cites Work

• An introduction to stochastic unit-root processes
• Measuring business cycles in economic time series
• Local polynomial fitting with long-memory, short-memory and antipersistent errors
• Monitoring Processes That Wander Using Integrated Moving Average Models
• Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?
• Statistical Control by Monitoring and Adjustment
• Robust non-parametric smoothing of non-stationary time series
• Unobserved components models in economics and finance
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