Multivariate approaches for aggregate time series

DOI10.1007/978-3-642-57678-2_31MaRDI QIDQ3297953zbMATH OpenOpenAlexFDO

Authors Cristina Davino, Vincenzo Esposito

Publication date 21 July 2020

Published in COMPSTAT (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-57678-2_31

zbMATH Keywords

aggregation weightscoherencecompromise componentsseasonal adjustment

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Assessing direct and indirect seasonal decomposition in state space
• Optimal aggregation of linear time series models
• Stability and Consistency of Seasonally Adjusted Aggregates and Their Component Patterns
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Cites work

• Generalized Procrustes analysis
• scientific article; zbMATH DE number 46736 (Why is no real title available?)
• scientific article; zbMATH DE number 3579840 (Why is no real title available?)
• scientific article; zbMATH DE number 1099312 (Why is no real title available?)

Cited in

(12)

• A novel weight determination method for time series data aggregation
• A random forest-based approach to combining and ranking seasonality tests
• Assessing direct and indirect seasonal decomposition in state space
• scientific article; zbMATH DE number 3858243 (Why is no real title available?)
• Stability and Consistency of Seasonally Adjusted Aggregates and Their Component Patterns
• scientific article; zbMATH DE number 1327257 (Why is no real title available?)
• AN OPTIMALITY CRITERION FOR AGGREGATING A SET OF TIME SERIES IN A COMPOSITE INDEX
• Seasonal adjustment of an aggregate series using univariate and multivariate basic structural models
• Maximum entropy extreme‐value seasonal adjustment
• Reconciliation of systems of time series according to a growth rates preservation principle
• Optimal aggregation of linear time series models
• An application of the TRAMO-SEATS automatic procedure; direct versus indirect adjustment

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