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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| Format: | Article |
| Language: | English |
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MDPI AG
2018-02-01
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| Series: | International Journal of Financial Studies |
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| Online Access: | http://www.mdpi.com/2227-7072/6/1/19 |