Non-Gaussian seasonal adjustment

DOI10.1016/0898-1221(89)90103-XzbMath0679.62070MaRDI QIDQ1822876

Genshiro Kitagawa

Publication date: 1989

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

zbMATH Keywords

trendoutlierssmoothingseasonalityfilteringstructural changesNumerical examplesobservational noisenon-Gaussian distributionsseasonal time seriesnon-Gaussian state space modelGaussian mixture approximationsmoothness prior modelstochastic linear difference equationwhite noise input

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cites Work

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• Decomposition of Seasonal Time Series: A Model for the Census X-11 Program
• Nonlinear Bayesian estimation using Gaussian sum approximations