Signal extraction error in nonstationary time series

DOI10.1214/AOS/1176344848zbMath0425.62073OpenAlexW2071941563MaRDI QIDQ1135603

David A. Pierce

Publication date: 1979

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176344848

zbMATH Keywords

spectrumautocorrelationsMSEseasonal adjustmentnonstationary time seriessignal extraction error

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (12)

Large shocks vs. small shocks. (Or does size matter? May be so.) ⋮ A note on minimum mean squared error estimation of signals with unit roots ⋮ A PROTOTYPICAL SEASONAL ADJUSTMENT MODEL ⋮ Data revisions with moving average seasonal adjustment procedures ⋮ Sources of error in economic time series ⋮ An application of the TRAMO-SEATS automatic procedure; direct versus indirect adjustment ⋮ Prediction theory for autoregressivemoving average processes ⋮ On the Model-Based Interpretation of Filters and the Reliability of Trend–Cycle Estimates ⋮ Estimation error and the specification of unobserved component models ⋮ Signal extraction and filtering by linear semiparametric methods ⋮ IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS ⋮ On Backshift-Operator polynomial transformations to stationarity for nonstationary time series and their aggregates

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