Revisions in ARIMA Signal Extraction

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DOI10.2307/2289005zbMath0616.62122OpenAlexW4237986870MaRDI QIDQ4725565

Agustin Maravall

Publication date: 1986

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

zbMATH Keywords

ARMA process canonical decomposition revisions ARIMA process concurrent estimate final estimate minimum mean square error linear estimate noise extraction

Mathematics Subject Classification ID

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

Related Items (3)

The information content of capacity utilization for detrending total factor productivity ⋮ Identification and hypothesis testing on ARIMA (p,d,q) models ⋮ Estimation error and the specification of unobserved component models

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