Computation of asymmetric signal extraction filters and mean squared error for ARIMA component models

DOI10.1111/j.1467-9892.2004.01920.xzbMath1060.62102MaRDI QIDQ4677033

William R. Bell, Donald E. K. Martin

Publication date: 20 May 2005

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2004.01920.x

zbMATH Keywords

linear filter; linear projection; seasonal ajustment

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

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

62B10: Statistical aspects of information-theoretic topics

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Uses Software

• TRAMO

Cites Work

• Computing observation weights for signal extraction and filtering
• Data revisions with moving average seasonal adjustment procedures
• Computation of asymmetric signal extraction filters and mean squared error for ARIMA component models
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