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Early warnings for turns in business cycles and finance
(University of Gothenburg, 2003-06-01)
In many areas, it is important to detect turning points in time series early and without faults. Turns in business cycles and financial time series are discussed here.
A variety of approaches for analyzing the turns in ...
Evaluations of likelihood based surveillance of volatility
(2007-12-13)
The volatility of asset returns are important in finance. Different likelihood based methods of statistical surveillance for detecting a change in the variance are evaluated. The differences are how the partial likelihood ...
Methods and evaluations for surveillance in industry, business, finance, and public health
(University of Gothenburg, 2011-02-10)
n overview on surveillance in different areas is given. Even though methods have been developed under different scientific cultures, the statistical concepts can be the same. When the statistical problems are the same, ...
Monotonicity restrictions used in a system of early warnings applied to monthly economic data
(University of Gothenburg, 1999-04-01)
When making political decisions, the ability to make correct predictions about the behaviour of the business cycle in the future is important. The ability to forecast business cycles determines the success of, for example, ...
Modelling the spatial patterns of influenza incidence in Sweden
(University of Gothenburg, 2010)
Information about the spatial spread of epidemics can be useful for many purposes. The spatial aspect of Swedish influenza data was analyzed with the main aim of finding patterns that could be useful for statistical ...
On multivariate control charts
(University of Gothenburg, 2011-02-10)
Industrial production requires multivariate control charts to enable monitoring of several components. Recently there has been an increased interest also in other areas such as detection of bioterrorism, spatial surveillance ...
On monotonicity and early warnings with applications in economics
(University of Gothenburg, 1999-01-01)
In this report a method for monitoring time series with cycles is presented. It is a nonparametric approach for detecting the turning point of the cycles. Time series of business indicators often exhibit cycles that can ...
Statistical surveillance of business cycles
(University of Gothenburg, 1994-01-01)
Methods for timely detection of turning-points in business cycles are discussed from a statistical point of view. The theory on optimal surveillance is used to characterize different approaches advocated in literature. ...
Statistical surveillance of cyclical processes with application to turns in business cycles
(University of Gothenburg, 2002-08-01)
On-line monitoring of cyclical processes is studied. An important application is early prediction of the next turn in business cycles by an alarm for a turn in a leading index. Three likelihood based methods for detection ...
Monitoring macroeconomic volatility
(2004-01-01)
In this paper we develop testing procedures for monitoring the stability of the variance of a time series. While the traditional approach to testing for structural change is retrospective, applying a single test to a ...