Empirical calibration of time series monitoring methods using receiver operating characteristic curves
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- Drehmann, Mathias & Juselius, Mikael, 2014.
"Evaluating early warning indicators of banking crises: Satisfying policy requirements,"
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International Journal of Forecasting,
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More about this item
KeywordsTime series monitoring ROC curve Average run length statistic Exponential smoothing Structural breaks Step jumps Outliers;
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