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

DOI10.1111/J.1467-842X.2012.00681.XzbMATH Open1335.91114MaRDI QIDQ2802801FDOQ2802801

Authors: Carlo Grillenzoni 

Publication date: 27 April 2016

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

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zbMATH Keywords

adaptive estimationtime-varying parametersexponential smoothingprediction errorsgain maximisation

Mathematics Subject Classification ID

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

Cites Work

• Sequential analysis: Some classical problems and new challenges. (With comments and rejoinder).
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• An introduction to stochastic unit-root processes
• Local polynomial fitting with long-memory, short-memory and antipersistent errors
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• Robust non-parametric smoothing of non-stationary time series
• Statistical Control by Monitoring and Adjustment
• Monitoring Processes That Wander Using Integrated Moving Average Models
• Non-linear models: where do we go next - time varying parameter models?
• Unobserved components models in economics and finance
• Suboptimal properties of Page's CUSUM and Shiryaev-Roberts procedures in change-point problems with dependent observations

Cited In (6)

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

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