Trend-cycle detection as a filtering problem

DOI10.1007/BF02589022MaRDI QIDQ3598311zbMATH OpenFDO

Authors Mario Faliva

Publication date 3 February 2009

Published in Journal of the Italian Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02589022

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cites work

• A note on minimum mean squared error estimation of signals with unit roots
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• Correlation theory of stationary and related random functions. Volume II: Supplementary notes and references
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• scientific article; zbMATH DE number 3750129 (Why is no real title available?)
• scientific article; zbMATH DE number 4185355 (Why is no real title available?)
• Measurement of a wandering signal amid noise
• On the dynamic structure of a seasonal component
• SEASONAL ADJUSTMENT BY A BAYESIAN MODELING
• The Estimation of a Changing Seasonal Pattern

Cited in

(15)

• Optimal real-time filters for linear prediction problems
• Trend estimation and de-trending via rational square-wave filters
• Trend filtering via empirical mode decompositions
• The local quadratic trend model
• Trend filtering: empirical mode decompositions versus _1 and Hodrick-Prescott
• scientific article; zbMATH DE number 992661 (Why is no real title available?)
• A Cascade Linear Filter to Reduce Revisions and False Turning Points for Real Time Trend-Cycle Estimation
• On the Model-Based Interpretation of Filters and the Reliability of Trend–Cycle Estimates
• scientific article; zbMATH DE number 3915477 (Why is no real title available?)
• scientific article; zbMATH DE number 1327251 (Why is no real title available?)
• scientific article; zbMATH DE number 1067788 (Why is no real title available?)
• Detection of Cyclic Trends in Incidence Data Using the Efficiency Score Method
• Trends cycles and seasons: econometric methods of signal extraction
• Band-limited component estimation in time-limited economic series
• Elastic trend filtering

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