On the robust detection of edges in time series filtering
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Fried, Roland & Bernholt, Thorsten & Gather, Ursula, 2006. "Repeated median and hybrid filters," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2313-2338, May.
- Zeileis, Achim, 2006. "Implementing a class of structural change tests: An econometric computing approach," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 2987-3008, July.
- Achim Zeileis, 2005. "A Unified Approach to Structural Change Tests Based on ML Scores, F Statistics, and OLS Residuals," Econometric Reviews, Taylor & Francis Journals, vol. 24(4), pages 445-466.
- Zeileis, Achim & Kleiber, Christian & Kramer, Walter & Hornik, Kurt, 2003.
"Testing and dating of structural changes in practice,"
Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 109-123, October.
- Zeileis, Achim & Kleiber, Christian & Krämer, Walter & Hornik, Kurt, 2002. "Testing and dating of structural changes in practice," Technical Reports 2002,39, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Zhao, Shan & Wei, G. W., 2003. "Jump process for the trend estimation of time series," Computational Statistics & Data Analysis, Elsevier, vol. 42(1-2), pages 219-241, February.
- Lim, Dong Hoon, 2006. "Robust edge detection in noisy images," Computational Statistics & Data Analysis, Elsevier, vol. 50(3), pages 803-812, February.
- Schwertman, Neil C. & de Silva, Rapti, 2007. "Identifying outliers with sequential fences," Computational Statistics & Data Analysis, Elsevier, vol. 51(8), pages 3800-3810, May.
- P.J. Rousseeuw & A.M. Leroy, 1988. "A robust scale estimator based on the shortest half," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 42(2), pages 103-116, June.
- Wilcox, Rand R., 2006. "Comparing medians," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 1934-1943, December.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Zeileis, Achim & Shah, Ajay & Patnaik, Ila, 2010. "Testing, monitoring, and dating structural changes in exchange rate regimes," Computational Statistics & Data Analysis, Elsevier, vol. 54(6), pages 1696-1706, June.
- Chevallier, Julien, 2011.
"Detecting instability in the volatility of carbon prices,"
Energy Economics, Elsevier, vol. 33(1), pages 99-110, January.
- Julien Chevallier, 2011. "Detecting Instability in the Volatility of Carbon Prices," Post-Print hal-00991957, HAL.
- Colin O’hare & Youwei Li, 2017.
"Modelling mortality: are we heading in the right direction?,"
Applied Economics, Taylor & Francis Journals, vol. 49(2), pages 170-187, January.
- O'Hare, Colin & Li, Youwei, 2016. "Modelling mortality: Are we heading in the right direction?," MPRA Paper 71392, University Library of Munich, Germany.
- Fried, Roland & Gather, Ursula, 2007. "On rank tests for shift detection in time series," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 221-233, September.
- Kleiber, Christian, 2016.
"Structural Change in (Economic) Time Series,"
Working papers
2016/06, Faculty of Business and Economics - University of Basel.
- Christian Kleiber, 2017. "Structural Change in (Economic) Time Series," Papers 1702.06913, arXiv.org.
- Makram El-Shagi & Sebastian Giesen, 2013.
"Testing for Structural Breaks at Unknown Time: A Steeplechase,"
Computational Economics, Springer;Society for Computational Economics, vol. 41(1), pages 101-123, January.
- El-Shagi, Makram & Giesen, Sebastian, 2010. "Testing for Structural Breaks at Unknown Time: A Steeplechase," IWH Discussion Papers 19/2010, Halle Institute for Economic Research (IWH).
- Kunze, Frederik & Wegener, Christoph & Bizer, Kilian & Spiwoks, Markus, 2017. "Forecasting European interest rates in times of financial crisis – What insights do we get from international survey forecasts?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 192-205.
- Fried, Roland & Gather, Ursula, 2006. "On rank tests for shift detection in time series," Technical Reports 2006,48, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Schettlinger, Karen & Fried, Roland & Gather, Ursula, 2006. "Robust Filters for Intensive Care Monitoring: Beyond the Running Median," Technical Reports 2006,23, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- O'Hare, Colin & Li, Youwei, 2014. "Identifying structural breaks in stochastic mortality models," MPRA Paper 62994, University Library of Munich, Germany.
- Dean Fantazzini, 2014.
"Nowcasting and Forecasting the Monthly Food Stamps Data in the US Using Online Search Data,"
PLOS ONE, Public Library of Science, vol. 9(11), pages 1-27, November.
- Fantazziini, Dean, 2014. "Nowcasting and Forecasting the Monthly Food Stamps Data in the US using Online Search Data," MPRA Paper 59696, University Library of Munich, Germany.
- Reginaldo Pinto Nogueira & Claudio Djissey Shikida & Ari Francisco de Araujo, 2011. "Structural changes in exchange rate regimes in Brazil," Economics Bulletin, AccessEcon, vol. 31(2), pages 1748-1756.
- Fried, Roland, 2007. "On the robust detection of edges in time series filtering," Technical Reports 2007,20, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Chang, Bi-Juan & Hung, Mao-Wei, 2021. "Corporate debt and cash decisions: A nonlinear panel data analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 15-37.
- Yonglin Shen & Xiuguo Liu, 2015. "Phenological Changes of Corn and Soybeans over U.S. by Bayesian Change-Point Model," Sustainability, MDPI, vol. 7(6), pages 1-23, May.
- Chang, Ming-Jen & Su, Che-Yi, 2014. "The dynamic relationship between exchange rates and macroeconomic fundamentals: Evidence from Pacific Rim countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 220-246.
- Jérôme Lahaye & Christopher Neely, 2020.
"The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 410-427, April.
- Jerome Lahaye & Christopher J. Neely, 2014. "The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited," Working Papers 2014-034, Federal Reserve Bank of St. Louis.
- Guo, Zhichao & Feng, Yuanhua & Tan, Xiangyong, 2011.
"Short- and long-term impact of remarkable economic events on the growth causes of China–Germany trade in agri-food products,"
Economic Modelling, Elsevier, vol. 28(6), pages 2359-2368.
- Zhichao Guo & Yuanhua Feng & Xiangyong Tan, 2010. "Short- and long-term impact of remarkable economic events on the growth causes of China-Germany trade in agri-food products," Working Papers CIE 32, Paderborn University, CIE Center for International Economics.
- Grinis, Inna, 2017. "Trend growth durations & shifts," LSE Research Online Documents on Economics 85126, London School of Economics and Political Science, LSE Library.
- Fan, Ying & Xu, Jin-Hua, 2011. "What has driven oil prices since 2000? A structural change perspective," Energy Economics, Elsevier, vol. 33(6), pages 1082-1094.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:52:y:2007:i:2:p:1063-1074. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/csda .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.