Computation of asymmetric signal extraction filters and mean squared error for ARIMA component models

DOI10.1111/j.1467-9892.2004.01920.xzbMath1060.62102OpenAlexW3121291985MaRDI QIDQ4677033

William R. Bell, Donald E. K. Martin

Publication date: 20 May 2005

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2004.01920.x

zbMATH Keywords

linear filterlinear projectionseasonal ajustment

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical aspects of information-theoretic topics (62B10)

Related Items (11)

A prediction perspective on the Wiener–Hopf equations for time series ⋮ Optimal signal extraction with correlated components ⋮ Optimal real-time filters for linear prediction problems ⋮ A Note on Trend Decomposition: The ‘Classical’ Approach Revisited with an Application to Surface Temperature Trends ⋮ An application of the TRAMO-SEATS automatic procedure; direct versus indirect adjustment ⋮ Wiener–Kolmogorov Filtering and Smoothing for Multivariate Series With State–Space Structure ⋮ Computation of asymmetric signal extraction filters and mean squared error for ARIMA component models ⋮ Realisations of finite-sample frequency-selective filters ⋮ Statistical signal extraction using stable processes ⋮ MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION ⋮ Signal extraction and filtering by linear semiparametric methods

Uses Software

• TRAMO

Cites Work

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• Computing observation weights for signal extraction and filtering
• Data revisions with moving average seasonal adjustment procedures
• Computation of asymmetric signal extraction filters and mean squared error for ARIMA component models

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