Zero Crossings on the Accuracy-Smoothness Frontier: Maximal Monotone and Minimal Inflection Non Stationary Predictors
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.
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BibTeX
@misc{wildi2026zero,
title = {{Zero Crossings on the Accuracy-Smoothness Frontier: Maximal Monotone and Minimal Inflection Non Stationary Predictors}},
author = {Marc Wildi},
howpublished = {arXiv},
year = {2026},
month = oct,
doi = {10.48550/arxiv.2610.41963},
eprint = {2610.41963},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2610.41963},
note = {CC BY 4.0},
}
RIS
TY - UNPB
TI - Zero Crossings on the Accuracy-Smoothness Frontier: Maximal Monotone and Minimal Inflection Non Stationary Predictors
AU - Marc Wildi
PY - 2026
DA - 2026/10/30
PB - arXiv
DO - 10.48550/arxiv.2610.41963
UR - https://arxiv.org/abs/2610.41963
AB - 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.
ER -