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Signal Extraction by Marc Wildi
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Signal Extraction

Efficient Estimation, 'Unit Root'-Tests and Early Detection of Turning Points
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Description

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.
Release date Australia
October 20th, 2004
Author
Audience
  • Professional & Vocational
Illustrations
XII, 279 p.
Pages
279
Dimensions
156x234x15
ISBN-13
9783540229353
Product ID
2840706

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