Publication result detail

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

POMĚNKOVÁ, J.; KLEJMOVÁ, E.

Original Title

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

English Title

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

Type

WoS Article

Original Abstract

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.

English abstract

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.

Keywords

masking, MC simulation, wavelet transform, macroeconomic shocks

Key words in English

masking, MC simulation, wavelet transform, macroeconomic shocks

Authors

POMĚNKOVÁ, J.; KLEJMOVÁ, E.

RIV year

2021

Released

07.04.2021

Publisher

ACADEMIC PRESS INC ELSEVIER SCIENCE

Location

SAN DIEGO, CA 92101-4495 USA

ISBN

1051-2004

Periodical

DIGITAL SIGNAL PROCESSING

Volume

114

Number

X

State

United States of America

Pages from

1

Pages to

14

Pages count

14

URL

https://reader.elsevier.com/reader/sd/pii/S1051200421000725?token=12406A0D9AEC5A357EA6F28A27F2A5464902DC9D93C45C126D7CD74FD73CC291FEC1AB8179A7D05D9672A858D2E994F9&originRegion=eu-west-1&originCreation=20210408061344

BibTex

@article{BUT171093,
  author="Jitka {Dluhá} and Eva {Klejmová}",
  title="Co-movement Selective Detection Filter to identify time series co-movement indicator or to filter out symmetric economic shocks",
  journal="DIGITAL SIGNAL PROCESSING",
  year="2021",
  volume="114",
  number="X",
  pages="1--14",
  doi="10.1016/j.dsp.2021.103033",
  issn="1051-2004",
  url="https://reader.elsevier.com/reader/sd/pii/S1051200421000725?token=12406A0D9AEC5A357EA6F28A27F2A5464902DC9D93C45C126D7CD74FD73CC291FEC1AB8179A7D05D9672A858D2E994F9&originRegion=eu-west-1&originCreation=20210408061344"
}