On fractional filtering versus conventional filtering in economics

DOI10.1016/J.CNSNS.2009.05.027MaRDI QIDQ718193zbMATH OpenOpenAlexFDO

Authors Tolga Omay, D. Baleanu, R. R. Nigmatullin

Publication date 23 September 2011

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://mpra.ub.uni-muenchen.de/111643/1/MPRA_paper_111643.pdf

zbMATH Keywords

decompositiondata generationMSEfractional filteringHodrickPrescott filtering

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of statistical and quantum mechanics to economics (econophysics) (91B80)

Recommendations

• The Hodrick-Prescott technique: A smoother versus a filter: An application to New Zealand GDP
• Several least-squares problems related to the Hodrick-Prescott filtering
• A simple heteroscedasticity removing filter
• A functional Hodrick-Prescott filter
• Effects of the Hodrick-Prescott filter on trend and difference stationary time series

Cites work

• The statistics of the fractional moments: is there any chance to ``read quantitatively any randomness?

Cited in

(18)

• Study of a class of generalized multiterm fractional differential equations with generalized fractional integral boundary conditions
• Existence of solution involving Genocchi numbers for nonlocal anti-periodic boundary value problem of arbitrary fractional order
• Uniqueness methods for the higher-order coupled fractional differential systems with multi-point boundary conditions
• Existence and Ulam-Hyers stability results for a class of fractional integro-differential equations involving nonlocal fractional integro-differential boundary conditions
• Existence of local solutions for differential equations with arbitrary fractional order
• Existence results for fractional differential equations of arbitrary order with nonlocal integral boundary conditions
• A simple heteroscedasticity removing filter
• Initial value problem for a class of semi-linear fractional iterative differential equations
• On the existence and uniqueness of solutions for fractional differential equations with nonlocal multi-point boundary conditions
• On Ulam's stability for a coupled systems of nonlinear implicit fractional differential equations
• Existence of solution for fractional neutral hybrid differential equations with finite delay
• Existence and multiplicity of solutions for fractional differential equations with \(p\)-Laplacian at resonance
• Computational challenge of fractional differential equations and the potential solutions: a survey
• Numerical simulation of fractional control system using Chebyshev polynomials
• Ulam stability to a toppled systems of nonlinear implicit fractional order boundary value problem
• The \(N\)-link pendulum: embedding nonlinear dynamics into the multidimensional scaling method
• Fractional boundary value problems with integral and anti-periodic boundary conditions
• Existence of mild solution for hybrid differential equations with arbitrary fractional order

This page was built for publication: On fractional filtering versus conventional filtering in economics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q718193)