A new set of asymmetric filters for tracking the short-term trend in real-time

DOI10.1214/15-AOAS856zbMath1454.62474arXiv1511.05356OpenAlexW3104883188MaRDI QIDQ902920

Silvia Bianconcini, Estela Bee Dagum

Publication date: 4 January 2016

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.05356

zbMATH Keywords

reproducing kernelsMusgrave filtersrecession and recovery analysisseasonally adjusted datatime-varying bandwidth selectionUS economy

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Monitoring the direction of the short-term trend of economic indicators ⋮ A new set of asymmetric filters for tracking the short-term trend in real-time ⋮ Time series modeling and decomposition

Cites Work

• Unnamed Item
• Unnamed Item
• A new set of asymmetric filters for tracking the short-term trend in real-time
• Hierarchies of higher order kernels
• A note on the statistical properties of nonparametric trend estimators by means of smoothing matrices
• A Cascade Linear Filter to Reduce Revisions and False Turning Points for Real Time Trend-Cycle Estimation
• Local Regression and Likelihood
• Applications: The Surrogate Henderson Filters in X‐11
• Seasonal adjustment with the X-11 method

This page was built for publication: A new set of asymmetric filters for tracking the short-term trend in real-time