How Successful Are Wavelets in Detecting Jumps?

Basit Öğe Kaydı
dc.WoS.categoriesPhysics, Multidisciplinaryen_US
dc.authorid0000-0001-6814-747Xen_US
dc.authorid0000-0003-1412-4488en_US
dc.contributor.authorEroğlu, Burak Alparslan
dc.contributor.authorGencay, Ramazan
dc.contributor.authorYazgan, Ege
dc.date.accessioned2020-11-16T09:14:38Z
dc.date.available2020-11-16T09:14:38Z
dc.date.issued2017-12
dc.description.abstractWe evaluate the performances of wavelet jump detection tests by using simulated high-frequency data, in which jumps and some other non-standard features are present. Wavelet-based jump detection tests have a clear advantage over the alternatives, as they are capable of stating the exact timing and number of jumps. The results indicate that, in addition to those advantages, these detection tests also preserve desirable power and size properties even in non-standard data environments, whereas their alternatives fail to sustain their desirable properties beyond standard data features.en_US
dc.fullTextLevelFull Texten_US
dc.identifier.doi10.3390/e19120638
dc.identifier.scopus2-s2.0-85038393583en_US
dc.identifier.scopusqualityQ2en_US
dc.identifier.urihttps://hdl.handle.net/11411/2653
dc.identifier.urihttps://doi.org/10.3390/e19120638
dc.identifier.wosWOS:000419007900007en_US
dc.identifier.wosqualityQ2en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.issue12en_US
dc.language.isoenen_US
dc.nationalInternationalen_US
dc.numberofauthors3en_US
dc.publisherMDPI AGen_US
dc.relation.ispartofENTROPYen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectwavelet decompositionen_US
dc.subjectjumpsen_US
dc.subjectjump testsen_US
dc.titleHow Successful Are Wavelets in Detecting Jumps?
dc.typeArticle
dc.volume19en_US

Dosyalar

Orijinal paket
Listeleniyor 1 - 1 / 1
Küçük Resim
İsim:
2017 WOS Eroğlu - Yazgan.pdf
Boyut:
283.66 KB
Biçim:
Adobe Portable Document Format
Açıklama:
İndir
Lisans paketi
Listeleniyor 1 - 1 / 1
Küçük Resim Yok
İsim:
license.txt
Boyut:
1.71 KB
Biçim:
Item-specific license agreed upon to submission
Açıklama:
İndir

Koleksiyon

Faculty of Business
Scopus Indexed Publications
Web of Science Indexed Publications