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Michael J. O’Shea
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Forecasting ability of a periodic component extracted from large-cap index time series - Repetition functions for the DJIA components. M. J. O’Shea, Jour. Forecasting We show repetition functions for DJIA components where a simple periodicity in the repetition function is observed, Figure A8 (reproduced from our paper). These may be compared with the repetition functions where we do not see a simple periodicity, see Figure A9. The repetition function is placed in this second category if: · it does not exhibit a simple periodicity (one significant maximum in a 252-day period) or
· there is a periodicity but it does not rise 2´ above the stochastic contribution.
Figure A8. The repetition functions for DJIA components (1990-2014) where a simple periodicity is observed. The The vertical dashed lines are the minima positions for the DJIA (1990-2014).
Figure A9. The repetition functions for DJIA components (1990-2014) where a simple periodicity is not observed. The vertical dashed lines are the minima positions for the DJIA (1990-2014). |
