A review of some modern approaches to the problem of trend extraction
DOI10.1080/07474938.2011.608032zbMATH Open1491.62081OpenAlexW1964448749MaRDI QIDQ5080160FDOQ5080160
Authors: Theodore Alexandrov, Silvia Bianconcini, Estela Bee Dagum, Peter Maass, Tucker S. McElroy 
Publication date: 31 May 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2011.608032
Recommendations
waveletstrendtime seriessingular spectrum analysismodel-based approachnonparametric linear filtering
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Inference from stochastic processes and spectral analysis (62M15)
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Cited In (12)
- Decomposition of dynamical signals into jumps, oscillatory patterns, and possible outliers
- A method of trend extraction using singular spectrum analysis
- Multiscale fluctuation features of the dynamic correlation between bivariate time series
- Data-driven local polynomial for the trend and its derivatives in economic time series
- Multifractal cross-correlation analysis between carbon spot and futures markets considering asymmetric conduction effect
- A note on trend decomposition: the `classical' approach revisited with an application to surface temperature trends
- On singular spectrum analysis and stepwise time series reconstruction
- Constructing trends of time series segments
- Signal extraction for nonstationary time series with diverse sampling rules
- Trend filtering: empirical mode decompositions versus \(\ell_1\) and Hodrick-Prescott
- Optimal real-time filters for linear prediction problems
- Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density
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