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Sequential Estimation and Control of Time-Varying Unit Root Processes with an Application to S&P Stock Price

Carlo Grillenzoni
2012 Sequential Analysis  
The optimal trading policy then coincides with the early detection of turning points in financial time series, i.e. the periods where the phases of expansion and recession begin.  ...  There were also important effects on the real side of economy, with the beginning of a downward phase for the business cycle.  ...  In econometrics, the identification of turning points usually proceeds by smoothing series with nonparametric filters and then applying the trend-cycle decomposition (e.g., Canova 2007) .  ... 
doi:10.1080/07474946.2012.651971 fatcat:ro47gchopncefn3oxkjj2ozmsi

Nonparametric Profile Monitoring by Mixed Effects Modeling

Peihua Qiu, Changliang Zou, Zhaojun Wang
2010 Technometrics  
Profile monitoring is for checking the stability of this relationship over time.  ...  In some applications, the quality of a process is characterized by the functional relationship between a response variable and one or more explanatory variables.  ...  On the other hand, other smoothing techniques such as the smoothing spline analysis of variance (ANOVA) models in Gu (2002) can handle multivariate estimation more conveniently.  ... 
doi:10.1198/tech.2010.08188 fatcat:cll54zwo2zao7h3o4h66jcuuzu

Drivers of CO2-Emissions in Fossil Fuel Abundant Settings: (Pooled) Mean Group and Nonparametric Panel Analyses

Elkhan Richard Sadik-Zada, Wilhelm Loewenstein
2020 Energies  
To avoid econometric misspecification, the study also employs for the first time a nonparametric time-varying coefficient panel data estimator with fixed effects (NPFE) for the dataset of 37 oil-producing  ...  countries in the time interval spanning between 1989 and 2019.  ...  The nonparametric estimator shows that an increasing level of per capita income in the respective time interval has not been associated with a linear but with a rather over-proportionate increase of per  ... 
doi:10.3390/en13153956 fatcat:6jedb2mlerda5do4m5rkmqsibi

Boosting techniques for nonlinear time series models

Nikolay Robinzonov, Gerhard Tutz, Torsten Hothorn
2011 AStA Advances in Statistical Analysis  
The NAAR model estimates the lags of a time series as flexible functions in order to detect nonmonotone relationships between current observations and past values.  ...  Thus, with the application of boosting for fitting potentially nonlinear models we address the major issues in time series modelling: lag selection and nonlinearity.  ...  Lag 9 q q q q q q q q q q q q q q q q q q q q Economic Forecasting with Boosting In this section boosting, along with other parametric and nonparametric models, are applied to real data.  ... 
doi:10.1007/s10182-011-0163-4 fatcat:feb2fv3agfha5g6yl4zc6b47kq

Bayesian binary quantile regression for the analysis of Bachelor-to-Master transition

Cristina Mollica, Lea Petrella
2016 Journal of Applied Statistics  
The working group (WG) CMStatistics comprises a number of specialized teams in various research areas of computational and methodological statistics.  ...  The teams act autonomously within the framework of the WG in order to promote their own research agenda. Their activities are endorsed by the WG.  ...  multivariate outliers is a relevant topic in many fields such as fraud detection or manufacturing defects detection.  ... 
doi:10.1080/02664763.2016.1263835 fatcat:l5eyielgxrct7hq5ljqeej5ccy

A sequential distance-based approach for imputing missing data: Forward Imputation

Nadia Solaro, Alessandro Barbiero, Giancarlo Manzi, Pier Alda Ferrari
2016 Advances in Data Analysis and Classification  
model from observations available in real time.  ...  All the results are illustrated with simulated and real time series of financial returns.  ... 
doi:10.1007/s11634-016-0243-0 fatcat:yvrqlgllsbesbnvnzzci2egpl4

Modelling the dynamic pattern of surface area in basketball and its effects on team performance

Rodolfo Metulini, Marica Manisera, Paola Zuccolotto
2018 Journal of Quantitative Analysis in Sports (JQAS)  
Using a time series of basketball players' coordinates, we focus on the dynamics of the surface area of the five players on the court with a two-fold purpose: (i) to give tools allowing a detailed description  ...  Specifically, we first employ a Markov Switching Model (MSM) to detect structural changes in the surface area.  ...  It implies that the number of degradation processes in the system increases the speed of deterioration of the system.  ... 
doi:10.1515/jqas-2018-0041 fatcat:b3qwsi7tqjg2vdo7gbjtiorv6m

An environmental epigenetic study ofADRB25′-UTR methylation and childhood asthma severity

A. Fu, B. P. Leaderer, J. F. Gent, D. Leaderer, Y. Zhu
2012 Clinical and Experimental Allergy  
Methods-We compared ADRB2 5'-UTR methylation levels in blood between 60 children with mild asthma and 122 children with severe asthma using methylation-specific PCR.  ...  Conclusions and Clinical Relevance-These findings support the potential use of ADRB2 5'-UTR methylation as a biomarker of both asthma severity and risk for NO 2 -associated asthma exacerbations in children  ...  Furthermore, studies of the effect of the use of the short-acting β 2 -agonist albuterol as monotherapy have shown that asthma control may deteriorate over time with regular use as opposed to intermittent  ... 
doi:10.1111/j.1365-2222.2012.04055.x pmid:22862293 pmcid:PMC3673701 fatcat:t3ybv3mwdjh6nhrbhr7h4jdhmu

The Macroeconomy as a Random Forest [article]

Philippe Goulet Coulombe
2021 arXiv   pre-print
Its main output, Generalized Time-Varying Parameters (GTVPs), is a versatile device nesting many popular nonlinearities (threshold/switching, smooth transition, structural breaks/change) and allowing for  ...  For instance, the successful unemployment forecast is due to the influence of forward-looking variables (e.g., term spreads, housing starts) nearly doubling before every recession.  ...  Smooth Relationships are Hard Relationships (to estimate) In finite samples, plain RF can have a hard time learning smooth relationships -like a AR (1) process.  ... 
arXiv:2006.12724v3 fatcat:4fckd3hmvfdvtc6fkn73jd22cm

Multi-period portfolio selection with drawdown control

Peter Nystrup, Stephen Boyd, Erik Lindström, Henrik Madsen
2018 Annals of Operations Research  
We include two sets of studies: one with simulated data and one with real data.  ...  The participants were negotiators, who took part in real life labour bargaining processes, as found by the list of the Organisation for Mediation and Arbitration of a European country.  ...  We study various business areas with both short and long product life cycles and present numerical results to prove effectiveness of the proposed methods.  ... 
doi:10.1007/s10479-018-2947-3 fatcat:haworusnrfcqvlmkmbidfwb5wu

Short-Term Forecasting for Empirical Economists. A Survey of the Recently Proposed Algorithms

Maximo Camacho, Gabriel Perez-Quiros, Pilar Poncela
2013 Social Science Research Network  
growth rates in real time.  ...  This survey seeks to close the gap between research and practice on short-term forecasting in real time.  ...  and real manufacturing and trade sales.  ... 
doi:10.2139/ssrn.2353772 fatcat:ztvzkarmkrduphn345iaccipsu

Short-term Forecasting for Empirical Economists: A Survey of the Recently Proposed Algorithms

Maximo Camacho
2013 Foundations and Trends in Econometrics  
growth rates in real time.  ...  This survey seeks to close the gap between research and practice on short-term forecasting in real time.  ...  and real manufacturing and trade sales.  ... 
doi:10.1561/0800000018 fatcat:p4iubk2ttzgmfkwvh44s2kv4ka

Hidden Markov models for monitoring circadian rhythmicity in telemetric activity data

Qi Huang, Dwayne Cohen, Sandra Komarzynski, Xiao-Mei Li, Pasquale Innominato, Francis Lévi, Bärbel Finkenstädt
2018 Journal of the Royal Society Interface  
data along with heterogeneous ultradian variances over the circadian cycle of human activity, (ii) thresholds activity into different states in a probabilistic way while respecting time dependence and  ...  to obtain objective and non-obtrusive records of actual activity of a subject in the real world over many days.  ...  Initial work for this study was commenced by D.C. in an MSc dissertation project supervised by B.F., for which D.C. was awarded a prize for the best MSc thesis by Department of Statistics, University of  ... 
doi:10.1098/rsif.2017.0885 pmid:29436510 pmcid:PMC5832732 fatcat:s35gyrewmzbdhlojqhk3xjaz5e

Forecasting industrial production and the early detection of turning points

Giancarlo Bruno, Claudio Lupi
2004 Empirical Economics  
We show how the use of these forecasts can improve the estimate of a cyclical indicator and the early detection of turning points for the manufacturing sector.  ...  In this paper we propose a simple model to forecast industrial production in Italy up to 6 months ahead.  ...  This allows us also to improve substantially on the timely detection of turning points in the level of manufacturing activity. We actually think that this is a major result of this paper.  ... 
doi:10.1007/s00181-004-0203-y fatcat:duwosxx2ubfqbh36zcke4xwoji

Psychometrics: From practice to theory and back

William Stout
2002 Psychometrika  
The problem-solving power and the joy of working with a dedicated, focused, and collegial group of colleagues is emphasized.  ...  indeed found psychometrics an important and fascinating intellectual endeavor, in particular finding the skills diagnosis area exciting and important: She often took time from her career as a business  ...  Using nonparametric kernel smoothing estimation, the amount of DIF/DBF, as given by the function B(θ ) defined above, is estimated in Douglas et al. (1998) .  ... 
doi:10.1007/bf02295128 fatcat:o7jmusct3faa5hwvp3x5upbhoi
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