A Note on the Use of Local Maxima to Predict Turning Points in Related Series

This article deals with the issue of to what extent local maxima of one time series can be used to predict the turning points of other series of interest. It is argued that the theory of high-level crossings is the appropriate framework to handle such issues. The article then defines precisely the n...

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Bibliographic Details
Published in:Journal of the American Statistical Association 1985-09, Vol.80 (391), p.553-557
Main Author: Neftci, Salih N.
Format: Article
Language:English
Subjects:
Applications
Economic conditions
Economic fluctuations
Economic trends
Exact sciences and technology
Index numbers
Inference from stochastic processes
time series analysis
Leading indicators
Local maximum
Mathematics
Probability and statistics
Ratios
Sciences and techniques of general use
Statistics
Stochastic processes
Time series
Time series forecasting
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Summary:This article deals with the issue of to what extent local maxima of one time series can be used to predict the turning points of other series of interest. It is argued that the theory of high-level crossings is the appropriate framework to handle such issues. The article then defines precisely the notion of a turning point and introduces a test for investigating the predictive value of the U.S. leading-indicator series.
ISSN:0162-1459
1537-274X
DOI:10.1080/01621459.1985.10478152