| Título | Entropy-based benchmarking methods |
|---|---|
| Autores | TEMURSHOEV, UMED |
| Publicación externa | No |
| Medio | Stat. Neerl. |
| Alcance | Article |
| Naturaleza | Científica |
| Cuartil JCR | 4 |
| Cuartil SJR | 3 |
| Impacto JCR | 0.433 |
| Web | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85052825692&doi=10.1111%2fstan.12160&partnerID=40&md5=d8dd2e32cc3d3f4c4aeb64fc8e4b8419 |
| Fecha de publicacion | 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\n be based on the principle of movement and sign preservation, which\n requires the benchmarked series to reproduce both the short-term\n movements and signs of the original series. It is shown that the widely\n used variants of Denton method and the Causey-Trager growth rate\n preservation method may violate this principle. Four variants of\n entropy-based benchmarking methods are proposed that, by construction,\n account for the requirements of the movement and sign preservation\n principle. Our extensive simulations confirm that the proposed entropy\n methods can be regarded as plausible competitors for the\n well-established benchmarking methods and may even be preferred in cases\n of benchmarking series that are highly volatile in sign and/or\n movements. |
| Palabras clave | benchmarking; generalized cross-entropy estimator; mathematical models; movement and sign preservation principle |
| Miembros de la Universidad Loyola |
|
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