IDEAS home Printed from https://ideas.repec.org/a/jof/jforec/v28y2009i4p293-315.html
   My bibliography  Save this article

Discrete Euler processes and their applications

Author

Listed:
  • Chu-Ping C. Vijverberg

    (Department of Economics, Wichita State University, Wichita, Kansas, USA)

  • Henry L. Gray

    (Department of Statistical Science, Southern Methodist University, Dallas, Texas, USA)

Abstract

This paper introduces discrete Euler processes and shows their application in detecting and forecasting cycles in non-stationary data where periodic behavior changes approximately linearly in time. A discrete Euler process becomes a classical stationary process if 'time' is transformed properly. By moving from one time domain to another, one may deform certain time-varying data to non-time-varying data. With these non-time-varying data on the deformed timescale, one may use traditional tools to do parameter estimation and forecasts. The obtained results then can be transformed back to the original timescale. For datasets with an underlying discrete Euler process, the sample M-spectrum and the spectra estimator of a Euler model (i.e., EAR spectral) are used to detect cycles of a Euler process. Beam response and whale data are used to demonstrate the usefulness of a Euler model. Copyright © 2008 John Wiley & Sons, Ltd.

Suggested Citation

  • Chu-Ping C. Vijverberg & Henry L. Gray, 2009. "Discrete Euler processes and their applications," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(4), pages 293-315.
    • Handle: RePEc:jof:jforec:v:28:y:2009:i:4:p:293-315
    DOI: 10.1002/for.1108
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1002/for.1108
    File Function: Link to full text; subscription required
    Download Restriction: no
    File URL: https://libkey.io/10.1002/for.1108?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jof:jforec:v:28:y:2009:i:4:p:293-315. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley-Blackwell Digital Licensing or Christopher F. Baum (email available below). General contact details of provider: http://www3.interscience.wiley.com/cgi-bin/jhome/2966 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.