Improving standardized time series methods by permuting path segments
J.M. Calvin, M.K. Nakayama · 2002
We describe an extension procedure for constructing new standardized time series procedures from existing ones for simulation. The approach is based on averaging over sample paths obtained by permuting path segments. Analytical and empirical results indicate that permuting improves standardized time series methods. We also propose a new standardized time series method based on maximums.