Detection of Turning Points in Business Cycles
Detection of Turning Points in Business Cycles
复制标题
检测经济周期的转折点
DOI：
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发表时间：
2003
期刊：
影响因子：
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通讯作者：
M. Frisén
中科院分区：
文献类型：
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作者：
M. Frisén
对连续监测经济周期的方法进行了比较。领先指数的转折可以用来预测商业周期的转折。利用统计监测理论和仿真对三种基于似然的拐点检测方法进行了详细的比较。其中一种方法是参数似然比法。另一个包括非参数估计过程。第三种是基于隐马尔可夫模型。对曲线的形状和参数、过渡和平滑的类型和概率等特征进行了评价。讨论了正确报警的期望延迟时间和报警预测值的结果。
Methods for continuously monitoring business cycles are compared. A turn in a leading index can be used to predict a turn in the business cycle. Three likelihood based methods for turning point detection are compared in detail by using the theory of statistical surveillance and by simulations. One of the methods is a parametric likelihood ratio method. Another includes a non-parametric estimation procedure. The third is based on a Hidden Markov Model. Evaluations are made of several features such as knowledge of shape and parameters of the curve, types and probabilities of transitions and smoothing. Results on the expected delay time [of](to) a correct alarm and the predictive value of an alarm are discussed...