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The paper deals with estimation of missing observations in possibly nonstationary ARIMA models. First, the model is assumed known, and the structure of the interpolation filter is analysed. Using the inverse or dual autocorrelation function it is seen how estimation of a missing observation is...
Persistent link: https://www.econbiz.de/10005022239
Brief summaries and user instruction are presented for the programs TRAMO ("Time Series regression with ARIMA Noise, Missing Observations and Outlers") and SEATS ("Signal Extraction in ARIMA Time Series").
Persistent link: https://www.econbiz.de/10005590679
The paper deals with the problem of identifying stochastic unobserved two-component models, as in seasonal adjustment or trend-cycle decompositions. Solutions based on the properties of the unobserved component estimation error are considered, and analytical expressions for the variances and...
Persistent link: https://www.econbiz.de/10005590684