Uncertainty in Model-Based Seasonal Adjustment Procedures and Construction of Minimax Filters
Publication:3766677
DOI10.2307/2289441zbMath0629.62095MaRDI QIDQ3766677
Publication date: 1987
Full work available at URL: https://doi.org/10.2307/2289441
linear filters; signal extraction; minimax estimates; seasonal adjustment filters; Empirical results; Bounds on the mean squared error; minimax and minimum extraction filters; model-based seasonal adjustment procedures; observationally equivalent models; robust seasonal adjustment filters; Unobserved component autoregressive integrated moving average models
62P20: Applications of statistics to economics
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62C20: Minimax procedures in statistical decision theory
91B84: Economic time series analysis
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