Co-movement Selective Detection Filter to identify time series co-movement indicator or to filter out symmetric economic shocks

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26220%2F21%3APU140565" target="_blank" >RIV/00216305:26220/21:PU140565 - isvavai.cz</a>

Výsledek na webu

<a href="https://reader.elsevier.com/reader/sd/pii/S1051200421000725?token=12406A0D9AEC5A357EA6F28A27F2A5464902DC9D93C45C126D7CD74FD73CC291FEC1AB8179A7D05D9672A858D2E994F9&originRegion=eu-west-1&originCreation=20210408061344" target="_blank" >https://reader.elsevier.com/reader/sd/pii/S1051200421000725?token=12406A0D9AEC5A357EA6F28A27F2A5464902DC9D93C45C126D7CD74FD73CC291FEC1AB8179A7D05D9672A858D2E994F9&originRegion=eu-west-1&originCreation=20210408061344</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.dsp.2021.103033" target="_blank" >10.1016/j.dsp.2021.103033</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Co-movement Selective Detection Filter to identify time series co-movement indicator or to filter out symmetric economic shocks

Popis výsledku v původním jazyce

The paper deals with designing a~mask suitable for a~selective filtering of data. The design of the mask is performed in the time-frequency domain and the selection is based on the co-movement measure of time series. We propose two approaches for the mask construction: i) hard thresholding based on chi-square testing; ii) adaptive based thresholding. The proposed mask can be used for time series filtering in which we obtain either the adjusted time series or the construction of the time series containing only the co-moved parts. Further, after computing an~inverse transform we can obtain time series with/without the co-moved area applicable for consequent econometric analyses. The paper provides recommendations concerning the selection of a~particular approach in a~given situation. The proposed methodology is demonstrated on the adjustment of industrial production index of Euro Area and selected G8 countries about co-movement with the US.

Název v anglickém jazyce

Co-movement Selective Detection Filter to identify time series co-movement indicator or to filter out symmetric economic shocks

Popis výsledku anglicky

The paper deals with designing a~mask suitable for a~selective filtering of data. The design of the mask is performed in the time-frequency domain and the selection is based on the co-movement measure of time series. We propose two approaches for the mask construction: i) hard thresholding based on chi-square testing; ii) adaptive based thresholding. The proposed mask can be used for time series filtering in which we obtain either the adjusted time series or the construction of the time series containing only the co-moved parts. Further, after computing an~inverse transform we can obtain time series with/without the co-moved area applicable for consequent econometric analyses. The paper provides recommendations concerning the selection of a~particular approach in a~given situation. The proposed methodology is demonstrated on the adjustment of industrial production index of Euro Area and selected G8 countries about co-movement with the US.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2021

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Digital Signal Processing

ISSN

1051-2004

e-ISSN

1095-4333

Svazek periodika

114

Číslo periodika v rámci svazku

X

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

14

Strana od-do

1-14

Kód UT WoS článku

000651615700004

EID výsledku v databázi Scopus

—