Assessing direct and indirect seasonal decomposition in state space

DOI10.1080/02664763.2014.909779MaRDI QIDQ2953271zbMATH OpenOpenAlexFDO

Authors Daniel Thorburn, Can Tongur

Publication date 4 January 2017

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664763.2014.909779

zbMATH Keywords

covarianceefficiencysignal to noiseindirect seasonal adjustment

Mathematics Subject Classification ID

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

Recommendations

• Multivariate approaches for aggregate time series
• An Exact Multivariate Model-Based Structural Decomposition
• Decomposition of time series models in state-space form
• scientific article; zbMATH DE number 3996944
• Data-driven decomposition of seasonal time series

Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• An application of the TRAMO-SEATS automatic procedure; direct versus indirect adjustment
• Seasonal Adjustment by Signal Extraction
• Seasonal adjustment of an aggregate series using univariate and multivariate basic structural models

Cited in

(3)

• Periodic and seasonal (co-)integration in the state space framework
• Decomposition of a state-space model with inputs
• Multivariate approaches for aggregate time series

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