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

Tucker S. McElroy, Brian Monsell

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)

Cited In (2)

• Maximum entropy extreme‐value seasonal adjustment
• Casting vector time series: algorithms for forecasting, imputation, and signal extraction

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