Item description for Signal Extraction: Efficient Estimation, 'Unit Root'-Tests and Early Detection of Turning Points (Lecture Notes in Economics and Mathematical Systems) by Marc Wildi...
The book provides deep insights into the signal extraction problem - especially at the boundary of a sample, where asymmetric filters must be used - and how to solve it optimally. The traditional model-based approach (TRAMO/SEATS or X-12-ARIMA) is an inefficient estimation method because it relies on one-step ahead forecasting performances (of a model) whereas the signal extraction problem implicitly requires good multi-step ahead forecasts also. Unit roots are important properties of the input signal because they generate a set of constraints for the best extraction filter. Since traditional tests essentially rely on one-step ahead forecasting performances, new tests are presented here which implicitly account for multi-step ahead forecasting performances too. The gain in efficiency obtained by the new estimation method is analyzed in great detail, using simulated data as well as 'real world' time series.
Promise Angels is dedicated to bringing you great books at great prices. Whether you read for entertainment, to learn, or for literacy - you will find what you want at promiseangels.com!
Est. Packaging Dimensions: Length: 9.45" Width: 6.3" Height: 0.79" Weight: 0.99 lbs.
Release Date Nov 23, 2004
ISBN 3540229353 ISBN13 9783540229353
Availability 81 units. Availability accurate as of May 23, 2017 10:39.
Usually ships within one to two business days from La Vergne, TN.
Orders shipping to an address other than a confirmed Credit Card / Paypal Billing address may incur and additional processing delay.