Statistical early-warning indicators based on autoregressive moving-average models

DOI10.1088/1751-8113/47/25/252001zbMath1305.62322arXiv1402.2885OpenAlexW3105245234WikidataQ57886183 ScholiaQ57886183MaRDI QIDQ5169422

Flavio Maria Emanuele Pons, Davide Faranda, Béreng`ere Dubrulle

Publication date: 22 July 2014

Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1402.2885

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Economic time series analysis (91B84) Phase transitions (general) in equilibrium statistical mechanics (82B26)

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