An iterated parametric approach to nonstationary signal extraction

DOI10.1016/j.csda.2005.07.008zbMath1445.62247OpenAlexW1964632635MaRDI QIDQ959309

Andrew Sutcliffe, Tucker S. McElroy

Publication date: 11 December 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2005.07.008

zbMATH Keywords

seasonal adjustmentsignal extractionnonstationary time seriesWiener-Kolmogorov filteringARIMA component modelX-11

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to social sciences (62P25)

Related Items (5)

Trends cycles and seasons: Econometric methods of signal extraction ⋮ Optimal signal extraction with correlated components ⋮ MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION ⋮ Editorial: 2nd special issue on statistical signal extraction and filtering ⋮ Signal extraction and filtering by linear semiparametric methods

Uses Software

• Ox
• SsfPack

Cites Work

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• Circulant matrices and time-series analysis
• Estimation, Prediction, and Interpolation for ARIMA Models with Missing Data
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• An ARIMA-Model-Based Approach to Seasonal Adjustment
• INITIALIZING THE KALMAN FILTER FOR NONSTATIONARY TIME SERIES MODELS
• Decomposition of Seasonal Time Series: A Model for the Census X-11 Program
• Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models
• Iterative Solution Methods
• Prediction of a noise-distorted, multivariate, non-stationary signal
• Measurement of a wandering signal amid noise
• Seasonal adjustment with the X-11 method

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