Revisions in ARIMA Signal Extraction

DOI10.2307/2289005MaRDI QIDQ4725565zbMATH OpenOpenAlexFDO

Authors Agustín Maravall

Publication date 1986

Full work available at URL https://doi.org/10.2307/2289005

zbMATH Keywords

canonical decompositionARMA processrevisionsARIMA processconcurrent estimatefinal estimateminimum mean square error linear estimatenoise extraction

Mathematics Subject Classification ID

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

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Cited in

(7)

• Estimation error and the specification of unobserved component models
• MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION
• Identification and hypothesis testing on ARIMA (p,d,q) models
• The information content of capacity utilization for detrending total factor productivity
• Computation of asymmetric signal extraction filters and mean squared error for ARIMA component models
• Signal extraction revision variances as a goodness-of-fit measure
• Controlling Revisions in Arima‐Model‐Based Seasonal Adjustment

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