Noise Reduction in a Reputation Index

Noise Reduction in a Reputation Index

Assuming that a time series incorporates “signal” and “noise” components, we propose a method to estimate the extent of the “noise” component by considering the smoothing properties of the state-space of the time series. A mild degree of smoothing in the state-space, applied using a Kalman filter, a...

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Bibliographic Details
Main Author: Peter Mitic
Format: Article
Language:English
Published: MDPI AG 2018-02-01
Series:International Journal of Financial Studies
Subjects:
reputation
reputation index
signal to noise
S/N
state-space
Kalman
time series
low pass filters
butterworth
moving average
Online Access:http://www.mdpi.com/2227-7072/6/1/19

Internet

http://www.mdpi.com/2227-7072/6/1/19

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