Title Entropy-based benchmarking methods
External publication No
Means Stat. Neerl.
Scope Article
Nature Científica
JCR Quartile 4
SJR Quartile 3
JCR Impact 0.43300
Area International
Web https://www.scopus.com/inward/record.uri?eid=2-s2.0-85052825692&doi=10.1111%2fstan.12160&partnerID=40&md5=d8dd2e32cc3d3f4c4aeb64fc8e4b8419
Publication date 01/11/2018
ISI 000446841200003
Scopus Id 2-s2.0-85052825692
DOI 10.1111/stan.12160
Abstract This paper argues that benchmarking of sign-volatile time series has to be based on the principle of movement and sign preservation, which requires the benchmarked series to reproduce both the short-term movements and signs of the original series. It is shown that the widely used variants of Denton method and the Causey-Trager growth rate preservation method may violate this principle. Four variants of entropy-based benchmarking methods are proposed that, by construction, account for the requirements of the movement and sign preservation principle. Our extensive simulations confirm that the proposed entropy methods can be regarded as plausible competitors for the well-established benchmarking methods and may even be preferred in cases of benchmarking series that are highly volatile in sign and/or movements.
Keywords benchmarking; generalized cross-entropy estimator; mathematical models; movement and sign preservation principle
Universidad Loyola members