Maximum entropy extreme‐value seasonal adjustment

DOI10.1111/ANZS.12262MaRDI QIDQ5229965zbMATH OpenOpenAlexFDO

Authors Richard N. Penny, Tucker S. McElroy

Publication date 19 August 2019

Published in Australian <html_ent glyph="@amp;" ascii="&amp;"/> New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/anzs.12262

zbMATH Keywords

seasonalityseasonal adjustmentsignal extractionextremesanomalies

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Economic time series analysis (91B84)

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Cites work

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• MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION
• Maximum entropy autoregressive conditional heteroskedasticity model
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• On the measurement and treatment of extremes in time series
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• Signal extraction from nonstationary time series

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