A Review of Some Modern Approaches to the Problem of Trend Extraction

DOI10.1080/07474938.2011.608032zbMath1491.62081OpenAlexW1964448749MaRDI QIDQ5080160

Estela Bee Dagum, Theodore Alexandrov, Silvia Bianconcini, Tucker S. McElroy, Peter Maass

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

zbMATH Keywords

trendwaveletstime seriessingular spectrum analysismodel-based approachnonparametric linear filtering

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) Inference from stochastic processes and spectral analysis (62M15) Economic time series analysis (91B84) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Related Items (8)

Optimal real-time filters for linear prediction problems ⋮ Signal extraction for nonstationary time series with diverse sampling rules ⋮ On Singular Spectrum Analysis And Stepwise Time Series Reconstruction ⋮ Decomposition of dynamical signals into jumps, oscillatory patterns, and possible outliers ⋮ 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 ⋮ Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density ⋮ MULTIFRACTAL CROSS-CORRELATION ANALYSIS BETWEEN CARBON SPOT AND FUTURES MARKETS CONSIDERING ASYMMETRIC CONDUCTION EFFECT

Uses Software

• SsfPack
• STAMP
• itsmr
• CaterpillarSSA

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