Seasonal Specific Structural Time Series

DOI10.2202/1558-3708.1205MaRDI QIDQ3368348zbMATH OpenOpenAlexFDO

Authors Tommaso Proietti

Publication date 27 January 2006

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1205

zbMATH Keywords

Circular CorrelationPeriodic ProcessesSeasonal AdjustmentSeasonal CointegrationSeasonal HeteroscedasticityUnobserved Components

Mathematics Subject Classification ID

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

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• Dynamic structural models with covariates for short-term forecasting of time series with complex seasonal patterns
• The seasonal variance and covariance of time series
• Time Series Seasonal Adjustment Using Regularized Singular Value Decomposition
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• Structural breaks and seasonal integration
• Forecasting daily time series using periodic unobserved components time series models

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