Bayesian seasonal adjustment of long memory time series

MaRDI QIDQ2906623zbMATH OpenFDO

Authors Scott H. Holan, Tucker S. McElroy

Publication date 5 September 2012

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Bayesian problems; characterization of Bayes procedures (62C10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cited in

(7)

• When long memory meets the Kalman filter: a comparative study
• Computation of the autocovariances for time series with multiple long-range persistencies
• Optimal real-time filters for linear prediction problems
• Estimation methods for stationary Gegenbauer processes
• Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics
• Covariate‐based cepstral parameterizations for time‐varying spatial error covariances
• Modeling extreme events in time series and their impact on seasonal adjustment in the post-Covid-19 era

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