Addo, Peter Martey; Billio, Monica; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2012
We provide a signal modality analysis to characterize and detect nonlinearity schemes in the US Industrial Production Index time series. The analysis is achieved by using the recently proposed ‘delay vector variance’ (DVV) method, which examines local predictability of a signal in the phase...