Zero Crossings on the Accuracy-Smoothness Frontier: Maximal Monotone and Minimal Inflection Non Stationary Predictors

Marc Wildi

Papers from arXiv.org

Abstract: The Smooth Sign Accuracy (SSA) framework resolves the smoothness--accuracy dilemma for stationary predictors by balancing mean squared error (MSE) against the frequency of sign changes. We generalize it to non-stationary integrated processes (I-SSA), deriving MSE-optimal predictors constrained by the expected duration between turning points (I(1)) or inflection points (I(2)). The resulting maximal-monotone and minimal-inflection predictors, filters, and smoothers customize classic benchmarks along a new efficient Accuracy--Smoothness (AS) frontier. Tracking the identity (the original data) along this frontier defines the \emph{I-SSA trend}, a novel smoothing concept that, unlike classical filters, imposes no artificial structure on the data-generating process and is directly interpretable through explicit control of turning- or inflection-point frequency. The optimization is a quadratically constrained quadratic program (QCQP) that reduces to a Generalized Trust Region Subproblem (GTRS) with hidden convexity. On its feasible, invertible region the problem is convex with a well-defined global optimum, and an exact closed-form expression delivers the efficient AS frontier. Under fairly general assumptions, finite-sample solutions converge to an asymptotic I-SSA predictor, devoid of integration boundary perturbations. The framework unifies mean squared error on non-stationary levels, and sign accuracy, zero-crossing frequency, and target correlation on stationary differences.

Date: 2026-10
References: Add references at CitEc
Citations:

Downloads: (external link)
https://arxiv.org/pdf/2610.41963 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2610.41963

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().