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dc.contributor.authorWildi, Marc-
dc.contributor.authorMcElroy, Tucker S.-
dc.date.accessioned2019-04-17T14:57:58Z-
dc.date.available2019-04-17T14:57:58Z-
dc.date.issued2019-
dc.identifier.issn0169-2070de_CH
dc.identifier.issn1872-8200de_CH
dc.identifier.urihttps://digitalcollection.zhaw.ch/handle/11475/16696-
dc.descriptionIn Press, Corrected Proof, Available online 12 April 2019de_CH
dc.description.abstractThe 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.de_CH
dc.language.isoende_CH
dc.publisherElsevierde_CH
dc.relation.ispartofInternational Journal of Forecastingde_CH
dc.rightsLicence according to publishing contractde_CH
dc.subjectConcurrent filtersde_CH
dc.subjectFrequency domainde_CH
dc.subjectPass-bandde_CH
dc.subjectPhase delayde_CH
dc.subjectTrendsde_CH
dc.subject.ddc330: Wirtschaftde_CH
dc.subject.ddc500: Naturwissenschaftende_CH
dc.titleThe trilemma between accuracy, timeliness and smoothness in real-time signal extractionde_CH
dc.typeBeitrag in wissenschaftlicher Zeitschriftde_CH
dcterms.typeTextde_CH
zhaw.departementSchool of Engineeringde_CH
zhaw.organisationalunitInstitut für Datenanalyse und Prozessdesign (IDP)de_CH
dc.identifier.doi10.1016/j.ijforecast.2019.03.008de_CH
zhaw.funding.euNode_CH
zhaw.originated.zhawYesde_CH
zhaw.publication.statuspublishedVersionde_CH
zhaw.publication.reviewPeer review (Publikation)de_CH
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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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