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Thick pen transformation for time series

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  • P. Fryzlewicz
  • H.‐S. Oh

Abstract

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Suggested Citation

  • P. Fryzlewicz & H.‐S. Oh, 2011. "Thick pen transformation for time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 73(4), pages 499-529, September.
    • Handle: RePEc:bla:jorssb:v:73:y:2011:i:4:p:499-529
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    Cited by:

    1. Wadud, Sania & Gronwald, Marc & Durand, Robert B. & Lee, Seungho, 2023. "Co-movement between commodity and equity markets revisited—An application of the Thick Pen method," International Review of Financial Analysis, Elsevier, vol. 87(C).
    2. Tommaso Proietti, 2023. "Peaks, gaps, and time‐reversibility of economic time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 43-68, January.
    3. Gronwald, Marc & Jin, Xin, 2024. "Measuring world oil market integration with a Thick Pen," Energy Economics, Elsevier, vol. 130(C).
    4. Lasse Holmström & Leena Pasanen, 2017. "Statistical Scale Space Methods," International Statistical Review, International Statistical Institute, vol. 85(1), pages 1-30, April.
    5. Minji Kim & Hee-Seok Oh & Yaeji Lim, 2023. "Zero-Inflated Time Series Clustering Via Ensemble Thick-Pen Transform," Journal of Classification, Springer;The Classification Society, vol. 40(2), pages 407-431, July.
    6. Jach, Agnieszka, 2017. "International stock market comovement in time and scale outlined with a thick pen," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 115-129.
    7. Marc Gronwald & Xin Jin, 2023. "Macroeconomics with a Thick Pen," CESifo Working Paper Series 10430, CESifo.

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