Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter

DOI10.1016/j.csda.2007.08.001zbMath1452.62092MaRDI QIDQ1020898

J. Martínez

Publication date: 2 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.08.001

zbMATH Keywords

business cycles; time series; ARIMA models; time aggregation; trend estimation; filtering and smoothing

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62-08: Computational methods for problems pertaining to statistics

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J10: Analysis of variance and covariance (ANOVA)