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有界时间序列中多重水平变动的检测AI 解读

The article proposes a sequential statistical procedure to test for the presence of level shifts affecting bounded time series, regardless of their order of integration. The article shows that bounds are relevant for the statistic that assumes that the time series are integrated of order one. In contrast, they do not affect the limiting distribution of the statistic that is defined for time series that are integrated of order zero. The article proposes a union rejection…

含整合或平稳噪声的多重水平突变检验AI 解读

Summary The paper analyzes the detection and estimation of multiple level shifts regardless of the order of integration of the time series. We show that it is possible to extend the Bai‐Perron methodology (1998) to the I(1) and NI(1) nonstationary cases so that a unified framework to test for the presence of multiple level shifts in a robust way is designed. The finite sample performance of the proposed statistics is carried out, establishing a comparison with other existing…

参考经济周期转折点定时的新方法AI 解读

Abstract–This article proposes a new approach to the analysis of the reference cycle turning points, defined on the basis of the specific turning points of a broad set of coincident economic indicators. Each individual pair of specific peaks and troughs from these indicators is viewed as a realization of a mixture of an unspecified number of separate bivariate Gaussian distributions whose different means are the reference turning points. These dates break the sample into…