The Summation of Random Causes as the Source of Cyclic Processes¶
Slutzky, E. (1937). The Summation of Random Causes as the Source of Cyclic Processes. Econometrica, 5(2), 105-146.
Cited by¶
3 citations across 3 artifacts.
Each citation links to the sentence it supports in the citing article.
Mechanisms¶
- Moving-Average or Boxcar Filter
- Averaging a noisy series can conjure smooth oscillations that were never in the data, the Slutsky–Yule effect.
This sourceDemonstrates that summing or smoothing random observations can generate apparently regular cyclic waves.
- Averaging a noisy series can conjure smooth oscillations that were never in the data, the Slutsky–Yule effect.
- Moving Average Smoother
- Worse, a moving average applied to what is actually random data can manufacture smooth cycles that were never there — the Slutsky–Yule effect.
This sourceShows that summing or smoothing random observations can generate regular-looking cyclic processes not present in the original random causes.
- Worse, a moving average applied to what is actually random data can manufacture smooth cycles that were never there — the Slutsky–Yule effect.
- Rolling-Window Aggregation
- And, most subtly, aggressively averaging a near-random series can manufacture apparent cycles that were never in the data, the Slutsky–Yule effect.
This sourceShows that moving summations or averages of random series can generate apparent cycles absent from the original data, the Slutzky–Yule effect.
- And, most subtly, aggressively averaging a near-random series can manufacture apparent cycles that were never in the data, the Slutsky–Yule effect.
Verification¶
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