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

DOI10.1080/01621459.2014.978452zbMATH Open1373.62572OpenAlexW2149631080MaRDI QIDQ5367441FDOQ5367441

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

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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)

Cited In (3)

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

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