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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
Type
journal article in Web of Science
Language
English
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.
Keywords
masking, MC simulation, wavelet transform, macroeconomic shocks
Authors
POMĚNKOVÁ, J.; KLEJMOVÁ, E.
Released
7. 4. 2021
Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
Location
SAN DIEGO, CA 92101-4495 USA
ISBN
1051-2004
Periodical
Digital Signal Processing
Year of study
114
Number
X
State
United States of America
Pages from
1
Pages to
14
Pages count
URL
https://reader.elsevier.com/reader/sd/pii/S1051200421000725?token=12406A0D9AEC5A357EA6F28A27F2A5464902DC9D93C45C126D7CD74FD73CC291FEC1AB8179A7D05D9672A858D2E994F9&originRegion=eu-west-1&originCreation=20210408061344
BibTex
@article{BUT171093, author="Jitka {Poměnková} 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" }