| Publikationstyp: | Beitrag in wissenschaftlicher Zeitschrift |
| Art der Begutachtung: | Peer review (Publikation) |
| Titel: | The trilemma between accuracy, timeliness and smoothness in real-time signal extraction |
| Autor/-in: | Wildi, Marc McElroy, Tucker S. |
| DOI: | 10.1016/j.ijforecast.2019.03.008 |
| Erschienen in: | International Journal of Forecasting |
| Erscheinungsdatum: | 2019 |
| Verlag / Hrsg. Institution: | Elsevier |
| ISSN: | 0169-2070 1872-8200 |
| Sprache: | Englisch |
| Schlagwörter: | Concurrent filters; Frequency domain; Pass-band; Phase delay; Trends |
| Fachgebiet (DDC): | 330: Wirtschaft 500: Naturwissenschaften |
| Zusammenfassung: | The evaluation of economic data and the monitoring of the economy is often concerned with an assessment of the mid- and long-term dynamics of time series (trend and/or cycle). Frequently, one is interested in the most recent estimate of a target signal, a so-called real-time estimate. Unfortunately, real-time signal extraction is a difficult estimation problem that involves linear combinations of possibly infinitely many multi-step ahead forecasts of a series. Here, we address the performances of real-time designs by proposing a generic direct filter approach. We decompose the ordinary mean squared error into accuracy, timeliness and smoothness error components, and we propose a new tradeoff between these competing terms, the so-called ATS-trilemma. This formalism enables us to derive a general class of optimization criteria that allow the user to address specific research priorities, in terms of the accuracy, timeliness and smoothness properties of the corresponding concurrent filter. We illustrate the new methods through simulations, and present an application to Indian industrial production data. |
| Weitere Angaben: | In Press, Corrected Proof, Available online 12 April 2019 |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/16696 |
| Volltext Version: | Publizierte Version |
| Lizenz (gemäss Verlagsvertrag): | Lizenz gemäss Verlagsvertrag |
| Departement: | School of Engineering |
| Organisationseinheit: | Institut für Datenanalyse und Prozessdesign (IDP) |
| Enthalten in den Sammlungen: | Publikationen School of Engineering |
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Wildi, M., & McElroy, T. S. (2019). The trilemma between accuracy, timeliness and smoothness in real-time signal extraction. International Journal of Forecasting. https://doi.org/10.1016/j.ijforecast.2019.03.008
Wildi, M. and McElroy, T.S. (2019) ‘The trilemma between accuracy, timeliness and smoothness in real-time signal extraction’, International Journal of Forecasting [Preprint]. Available at: https://doi.org/10.1016/j.ijforecast.2019.03.008.
M. Wildi and T. S. McElroy, “The trilemma between accuracy, timeliness and smoothness in real-time signal extraction,” International Journal of Forecasting, 2019, doi: 10.1016/j.ijforecast.2019.03.008.
WILDI, Marc und Tucker S. MCELROY, 2019. The trilemma between accuracy, timeliness and smoothness in real-time signal extraction. International Journal of Forecasting. 2019. DOI 10.1016/j.ijforecast.2019.03.008
Wildi, Marc, and Tucker S. McElroy. 2019. “The Trilemma between Accuracy, Timeliness and Smoothness in Real-Time Signal Extraction.” International Journal of Forecasting. https://doi.org/10.1016/j.ijforecast.2019.03.008.
Wildi, Marc, and Tucker S. McElroy. “The Trilemma between Accuracy, Timeliness and Smoothness in Real-Time Signal Extraction.” International Journal of Forecasting, 2019, https://doi.org/10.1016/j.ijforecast.2019.03.008.
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