Seasonal adjustment of an aggregate series using univariate and multivariate basic structural models

DOI10.1080/15598608.2011.10412023MaRDI QIDQ450841zbMATH OpenOpenAlexFDO

Authors Carole L. Birrell, David G. Steel, Yan-Xia Lin

Publication date 15 September 2012

Published in Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL https://ro.uow.edu.au/cssmwp/48

zbMATH Keywords

time seriesaggregate seriesmultivariate basic structural modelsunivariate basic structural models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Recommendations

• Multivariate approaches for aggregate time series
• A PROTOTYPICAL SEASONAL ADJUSTMENT MODEL
• Assessing direct and indirect seasonal decomposition in state space
• Stability and Consistency of Seasonally Adjusted Aggregates and Their Component Patterns
• Aggregation and Disaggregation of Structural Time Series Models

Cites work

• Analysis and Generalisation of a Multivariate Exponential Smoothing Model
• Fast filtering and smoothing for multivariate state space models
• Modeling Financial Time Series with S-PLUS®
• Seasonal Adjustment by Signal Extraction
• Statistical algorithms for models in state space using SsfPack 2.2
• Time Series Analysis of Repeated Surveys: The State-space Approach
• Time series analysis by state space methods

Cited in

(4)

• Seasonal adjustment subject to accounting constraints
• Assessing direct and indirect seasonal decomposition in state space
• A Review of Seasonal Adjustment Diagnostics
• Multivariate Seasonal Adjustment, Economic Identities, and Seasonal Taxonomy

Describes a project that uses

Uses Software

• SsfPack

This page was built for publication: Seasonal adjustment of an aggregate series using univariate and multivariate basic structural models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q450841)