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

imputationmissing datamixed frequenciesmodel estimationpredictionsampling frequencyseasonal adjustmentsignal extractiontime series

Mathematics Subject Classification ID

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

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(5)

• Signal extraction for nonstationary time series with diverse sampling rules
• Casting vector time series: algorithms for forecasting, imputation, and signal extraction
• Maximum entropy extreme‐value seasonal adjustment
• Analysis of crisis effects via maximum entropy adjustment
• Seasonal Adjustment of Time Series Observed at Mixed Frequencies Using Singular Value Decomposition with Wavelet Thresholding

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