A systems approach to recursive economic forecasting and seasonal adjustment

DOI10.1016/0898-1221(89)90102-8zbMath0681.90030OpenAlexW2026301401MaRDI QIDQ1823836

Yanyan Li

Publication date: 1989

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: http://minneapolisfed.org/research/DP/DP8.pdf

zbMATH Keywords

identificationestimationmaximum likelihood estimationforecastingadaptive modellingrecursive approachnonstationary economic time-seriesrecursive state- space smoothingsequential spectral decomposition

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Economic time series analysis (91B84) Estimation and detection in stochastic control theory (93E10) Economic growth models (91B62) Identification in stochastic control theory (93E12)

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Cites Work

• Theory and applications of adaptive control - a survey
• Recursive estimation and time-series analysis. An introduction
• A NONSTATIONARY TIME SERIES MODEL AND ITS FITTING BY A RECURSIVE FILTER
• Some observations on instrumental variable methods of time-series analysis
• The Effects of Seat Belt Legislation on British Road Casualties: A Case Study in Structural Time Series Modelling
• Evaluation of likelihood functions for Gaussian signals
• Exponential Smoothing and Short-Term Sales Forecasting
• A Bayesian Approach to Short-term Forecasting
• TESTS OF FIT IN TIME SERIES
• A new look at the statistical model identification
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