Computation of asymmetric signal extraction filters and mean squared error for ARIMA component models

DOI10.1111/j.1467-9892.2004.01920.xzbMath1060.62102OpenAlexW3121291985MaRDI QIDQ4677033

William R. Bell, Donald E. K. Martin

Publication date: 20 May 2005

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2004.01920.x

zbMATH Keywords

linear filterlinear projectionseasonal ajustment

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical aspects of information-theoretic topics (62B10)

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A prediction perspective on the Wiener–Hopf equations for time series, Optimal signal extraction with correlated components, Optimal real-time filters for linear prediction problems, A Note on Trend Decomposition: The ‘Classical’ Approach Revisited with an Application to Surface Temperature Trends, An application of the TRAMO-SEATS automatic procedure; direct versus indirect adjustment, Wiener–Kolmogorov Filtering and Smoothing for Multivariate Series With State–Space Structure, Computation of asymmetric signal extraction filters and mean squared error for ARIMA component models, Realisations of finite-sample frequency-selective filters, Statistical signal extraction using stable processes, MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION, Signal extraction and filtering by linear semiparametric methods

Uses Software

• TRAMO

Cites Work

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• Computing observation weights for signal extraction and filtering
• Data revisions with moving average seasonal adjustment procedures
• Computation of asymmetric signal extraction filters and mean squared error for ARIMA component models