Non-Gaussian seasonal adjustment

DOI10.1016/0898-1221(89)90103-XzbMath0679.62070MaRDI QIDQ1822876

Genshiro Kitagawa

Publication date: 1989

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

zbMATH Keywords

trendoutlierssmoothingseasonalityfilteringstructural changesNumerical examplesobservational noisenon-Gaussian distributionsseasonal time seriesnon-Gaussian state space modelGaussian mixture approximationsmoothness prior modelstochastic linear difference equationwhite noise input

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (6)

The two-filter formula for smoothing and an implementation of the Gaussian-sum smoother ⋮ Computational aspects of sequential Monte Carlo filter and smoother ⋮ Monte carlo filter using the genetic algorithm operators ⋮ Particle filters for continuous likelihood evaluation and maximisation ⋮ Track fitting with non-Gaussian noise ⋮ Conditional expansions and their applications.

Cites Work

• Recursive Bayesian estimation using Gaussian sums
• Undamped oscillation of the sample autocovariance function and the effect of prewhitening operation
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• An ARIMA-Model-Based Approach to Seasonal Adjustment
• A NONSTATIONARY TIME SERIES MODEL AND ITS FITTING BY A RECURSIVE FILTER
• Decomposition of Seasonal Time Series: A Model for the Census X-11 Program
• Nonlinear Bayesian estimation using Gaussian sum approximations
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