| Author: | Sastri, T. |
| Title: | Multipass seasonal adjustment filter. |
| Journal: | Management Science
1989 : JAN, VOL. 35:1, p. 100-123 |
| Index terms: | TIME SERIES SEASONAL FLUCTUATION |
| Language: | eng |
| Abstract: | A state-space seasonal time series model and a new seasonal decomposition algorithm, based on the Kalman filter, are introduced. The time series model is statistically equivalent to the multiplicative seasonal model, ARIMA. It is shown that the steady-state filters forecasts of this model are identical to Box and Jenkins' values. The seasonal adjustment and decomposition algorithm is based on a multipass filtering technique for back forecasting and smoothing in order to correct start-up transients and replace lost filters estimates during the initialization phase. |
SCIMA