Model estimation, prediction, and signal extraction for nonstationary stock and flow time series observed at mixed frequencies

DOI10.1080/01621459.2014.978452MaRDI QIDQ5367441zbMATH OpenOpenAlexFDO

Authors Brian Monsell, Tucker S. McElroy

Publication date 13 October 2017

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/01621459.2014.978452

zbMATH Keywords

predictionmissing datatime seriesimputationseasonal adjustmentsignal extractionsampling frequencymixed frequenciesmodel estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Sampling theory, sample surveys (62D05)

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(3)

• Signal extraction for nonstationary time series with diverse sampling rules
• Maximum entropy extreme‐value seasonal adjustment
• Casting vector time series: algorithms for forecasting, imputation, and signal extraction

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