Complexity-Regularized Regression for Serially-Correlated Residuals with Applications to Stock Market Data
نویسندگان
چکیده
منابع مشابه
Complexity-Regularized Regression for Serially-Correlated Residuals with Applications to Stock Market Data
Abstract: A popular approach in the investigation of the short-term behavior of a non-stationary time series is to assume that the time series decomposes additively into a long-term trend and short-term fluctuations. A first step towards investigating the short-term behavior requires estimation of the trend, typically via smoothing in the time domain. We propose a method for time-domain smoothi...
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ژورنال
عنوان ژورنال: Entropy
سال: 2014
ISSN: 1099-4300
DOI: 10.3390/e17010001