Some Statistical Aspects of Methods for Detection of Turning Points in Business Cycles

E. ANDERSSON; D. BOCK; M. FRISEN

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Some Statistical Aspects of Methods for Detection of Turning Points in Business Cycles

机译：商业周期转折点检测方法的一些统计方面

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Methods for online turning point detection in business cycles are discussed. The statistical properties of three likelihood-based methods are compared. One is based on a Hidden Markov Model, another includes a non-parametric estimation procedure and the third combines features of the other two. The methods are illustrated by monitoring a period of the Swedish industrial production. Evaluation measures that reflect timeliness are used. The effects of smoothing, seasonal variation, autoregression and multivariate issues on methods for timely detection are discussed.

机译：讨论了商业周期中在线转折点检测的方法。比较了三种基于可能性的方法的统计性质。一种基于隐马尔可夫模型，另一种基于非参数估计程序，第三种结合了其他两种的特征。通过监视瑞典工业生产的时期来说明这些方法。使用反映及时性的评估措施。讨论了平滑，季节性变化，自回归和多元问题对及时检测方法的影响。

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来源
《Journal of applied statistics》 |2006年第3期|p.257-278|共22页
作者
E. ANDERSSON; D. BOCK; M. FRISEN;
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作者单位

Statistical Research Unit, PO Box 660, SE-405 30 Goteborg, Sweden;

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原文格式 PDF
正文语种 eng
中图分类统计学;
关键词
monitoring; surveillance; early warning system; regime switching;

机译：监控;监视;预警系统;制度切换;

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6. Medical Aspects of the Business Cycle [O] . Emil Bogen 1937

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Some Statistical Aspects of Methods for Detection of Turning Points in Business Cycles

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