Coerenza e revisione nelle componenti canoniche. (Coherence and revision in canonical components) (Q580860)

The canonical decomposition is the most applied model-based technique to generate components, as the trend-cycle, with the pattern as stable as possible. Since the used are the estimated components, we prove that many appealing canonical components' properties may not be valid for their estimates. Particularly we show that: (a) the coherence between a canonical component and its estimate is lower than the coherence between any other admissible component and its estimate; (b) the revision variance of any admissible component may be lower than the revision variance of the canonical component. Two illustrative examples are presented.