Search Results - subject:"Spectrum analysis"

Optimal Linear Filtering, Smoothing and Trend Extraction for the m-th Differences of a Unit Root Process: A Singular Spectrum Analysis Approach

Thomakos, Dimitrios; Hassani, Hossein; Patterson, Kerry - Henley Business School, University of Reading - 2013

filter and resulting smoother are based on the methodology of Singular Spectrum Analysis (SSA). An explicit representation …

Persistent link: https://www.econbiz.de/10010747655

Forecasting UK consumer price inflation using inflation forecasts

Hassani, Hossein; Silva, Emmanuel Sirimal - In: Research in economics : an international review of economics 72 (2018) 3, pp. 367-378

Persistent link: https://www.econbiz.de/10012041873

Forecasting global stock market implied volatility indices

Degiannakis, Stavros; Filis, George; Hassani, Hossein - In: Journal of empirical finance 46 (2018), pp. 111-129

Persistent link: https://www.econbiz.de/10012103431

Forecasting home sales in the four census regions and the aggregate US economy using singular spectrum analysis

Hassani, Hossein; Ghodsi, Zara; Gupta, Rangan; Segnon, … - In: Computational economics 49 (2017) 1, pp. 83-97

Persistent link: https://www.econbiz.de/10011751817

EXSSA : SSA-based reconstruction of time series via exponential smoothing of covariance eigenvalues

Papailias, Fotis; Thomakos, Dimitrios D. - In: International journal of forecasting 33 (2017) 1, pp. 214-229

Persistent link: https://www.econbiz.de/10011754701

Non-linear models for tourism demand forecasting

Saayman, Andrea; Botha, Ilsé - In: Tourism economics : the business and finance of tourism … 23 (2017) 3, pp. 594-613

Persistent link: https://www.econbiz.de/10011702507

Towards a Measure of Core Inflation using Singular Spectrum Analysis

Ruch, Franz; Bester, Dirk - Economic Research Southern Africa (ERSA) - 2011

This paper constructs a number of possible core measures of annual inflation using Singular Spectrum Analysis (SSA …

Persistent link: https://www.econbiz.de/10009369291

Moment Tests for Window Length Selection in Singular Spectrum Analysis of Short- and Long-Memory Processes

Khan, Md Atikur Rahman; Poskitt, D.S. - Department of Econometrics and Business Statistics, … - 2011

In this paper we propose a new methodology for selecting the window length in Singular Spectral Analysis in which the window length is determined from the data prior to the commencement of modeling. The selection procedure is based on statistical tests designed to test the convergence of the...

Persistent link: https://www.econbiz.de/10009320586

Heuristic Analysis of Time Series Internal Structure

Mert, Cihan; Milnikov, Alexander - In: IBSU Scientific Journal 4 (2010) 2, pp. 149-155

A method of analysis of Time Series Internal Structures based on Singular Spectrum Analysis is discussed. It has been …

Persistent link: https://www.econbiz.de/10008836630

Description Length Based Signal Detection in singular Spectrum Analysis

Khan, Md Atikur Rahman; Poskitt, D.S. - Department of Econometrics and Business Statistics, … - 2010

This paper provides an information theoretic analysis of the signal-noise separation problem in Singular Spectrum … Analysis. We present a signal-plus-noise model based on the Karhunen-Loève expansion and use this model to motivate the …

Persistent link: https://www.econbiz.de/10008464948