Evaluation of recursive detection methods for turning points in financial time series

DOI10.1111/J.1467-842X.2012.00681.XMaRDI QIDQ2802801zbMATH OpenFDO

Authors Carlo Grillenzoni

Publication date 27 April 2016

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

zbMATH Keywords

adaptive estimationtime-varying parametersexponential smoothingprediction errorsgain maximisation

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 3997615 (Why is no real title available?)
• scientific article; zbMATH DE number 897115 (Why is no real title available?)
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• Measuring business cycles in economic time series
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• Non-linear models: where do we go next - time varying parameter models?
• Robust non-parametric smoothing of non-stationary time series
• Sequential analysis: Some classical problems and new challenges. (With comments and rejoinder).
• Statistical Control by Monitoring and Adjustment
• Suboptimal properties of Page's CUSUM and Shiryaev-Roberts procedures in change-point problems with dependent observations
• Unobserved components models in economics and finance

Cited in

(6)

• Modeling turning points in financial markets with soft computing techniques
• A Note on the Use of Local Maxima to Predict Turning Points in Related Series
• Adaptive methods for financial decisions
• Estimating the turning point location in shifted exponential model of time series
• The turning point analysis of financial time series
• Rapid detection of the switching point in a financial market structure using the particle filter

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