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Sequential Estimation and Control of Time-Varying Unit Root Processes with an Application to S&P Stock Price
2012
Sequential Analysis
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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
2010
Technometrics
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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
2020
Energies
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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
2011
AStA Advances in Statistical Analysis
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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
2016
Journal of Applied Statistics
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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
2016
Advances in Data Analysis and Classification
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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
2018
Journal of Quantitative Analysis in Sports (JQAS)
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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
2012
Clinical and Experimental Allergy
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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]
2021
arXiv
pre-print
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2020 pre-print arXiv:2006.12724v2 fatcat:ayp7b5kpnfffzdn5qb3jijgepeOther Versions
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
2018
Annals of Operations Research
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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
2013
Social Science Research Network
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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
2013
Foundations and Trends in Econometrics
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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
2018
Journal of the Royal Society Interface
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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
2004
Empirical Economics
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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
2002
Psychometrika
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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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