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Medientyp: E-Artikel Titel: Real‐Time Signal Extraction with Regularized Multivariate Direct Filter Approach Beteiligte: Buss, Ginters Erschienen: Wiley, 2016 Erschienen in: Journal of Forecasting Sprache: Englisch DOI: 10.1002/for.2352 ISSN: 0277-6693; 1099-131X Schlagwörter: Management Science and Operations Research ; Statistics, Probability and Uncertainty ; Strategy and Management ; Computer Science Applications ; Modeling and Simulation ; Economics and Econometrics Entstehung: Anmerkungen: Beschreibung: <jats:p>The paper studies the regularized direct filter approach as a tool for real‐time signal extraction using high‐dimensional datasets. It is shown that the filter is able to process high‐dimensional datasets by controlling for effective degrees of freedom through longitudinal and cross‐sectional regularization. The paper illustrates the merit of the proposed approach by tracking the medium‐ to long‐run component in euro area gross domestic product growth. The created real‐time indicators outperform Eurocoin with respect to timeliness. Copyright © 2015 John Wiley & Sons, Ltd.</jats:p>