The MathNet Korea
Information Center for Mathematical Science

논문검색

Information Center for Mathematical Science

논문검색

Trends in Mathematics
( Vol. 13 NO.1 / (2011))
BUILDING SIGNAL EXTRACTION MODEL BASED ON NEW OBJECTIVE FUNCTION
KYUNG-SOO KIM,
Pages. 7-13
Abstract This paper builds a signal extraction model of currency crisis prediction based on new objective function. The optimal threshold of early warning indicators minimizes the new objective function, more general than the noise-signal ratio which the current signal extraction model depends upon. Using composite crisis index and its associated cut-off probability the paper shows that the crisis forecast based on the general objective function performs better.
Contents 1. Introduction
2. Building signal extraction model
3. Concluding Remarks
Key words
Mathmatical Subject Classification
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