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Название: Signal Extraction: Efficient Estimation, 'Unit Root'-Tests and Early Detection of Turning Points (Lecture Notes in Economics and Mathematical Systems)
Автор: Wildi M.
The material contained in this book originated in interrogations about
modern practice in time series analysis.
• Why do we use models optimized with respect to one-step ahead forecasting
performances for applications involving multi-step ahead forecasts?
• Why do we infer 'long-term' properties (unit-roots) of an unknown process
from statistics essentially based on short-term one-step ahead forecasting
performances of particular time series models?
• Are we able to detect turning-points of trend components earlier than with
traditional signal extraction procedures?