Complexity-Regularized Regression for Serially-Correlated Residuals with Applications to Stock Market Data
A popular approach in the investigation of the short-term behavior of a non-stationary time series is to assume that the time series decomposes additively into a long-term trend and short-term fluctuations. A first step towards investigating the short-term behavior requires estimation of the trend,...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2014-12-01
|
| Series: | Entropy |
| Subjects: | |
| Online Access: | http://www.mdpi.com/1099-4300/17/1/1 |