Case study: shipping trend estimation and prediction via multiscale variance stabilisation. Issue 15 (18th November 2017)

• Record Type: Journal Article
• Authors: Michis, Antonis A.; Nason, Guy P.
• Is Part Of: Journal of applied statistics. Volume 44:Issue 15(2017)
• Page Start: 2672
• Page End: 2684
• Publication Date: 2017-11-18
• Subjects: Data-driven Haar–Fisz transform -- trend estimation -- heteroscedastic -- shipping creditflow; 62M10 -- 62M20; Statistics -- Periodicals; 519.5
• DOI: 10.1080/02664763.2016.1260096
• Languages: English
• ISSNs: 0266-4763

Abstract

ABSTRACT: Shipping and shipping services are a key industry of great importance to the economy of Cyprus and the wider European Union. Assessment, management and future steering of the industry, and its associated economy, is carried out by a range of organisations and is of direct interest to a number of stakeholders. This article presents an analysis of shipping credit flow data: an important and archetypal series whose analysis is hampered by rapid changes of variance. Our analysis uses the recently developed data-driven Haar–Fisz transformation that enables accurate trend estimation and successful prediction in these kinds of situation. Our trend estimation is augmented by bootstrap confidence bands, new in this context. The good performance of the data-driven Haar–Fisz transform contrasts with the poor performance exhibited by popular and established variance stabilisation alternatives: the Box–Cox, logarithm and square root transformations.