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

trend; outliers; smoothing; seasonality; filtering; structural changes; Numerical examples; observational noise; non-Gaussian distributions; seasonal time series; non-Gaussian state space model; Gaussian mixture approximation; smoothness prior model; stochastic linear difference equation; white noise input

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

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

91B84: Economic time series analysis

Related Items

Monte carlo filter using the genetic algorithm operators, Track fitting with non-Gaussian noise, The two-filter formula for smoothing and an implementation of the Gaussian-sum smoother, Conditional expansions and their applications.

Cites Work

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