search query: @author Wallis, K. F. / total: 4
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| Author: | Burridge, P. Wallis, K. F. |
| Title: | Seasonal adjustment and Kalman filtering: extension to periodic variances. |
| Journal: | Journal of Forecasting
1990 : MAR-APR, VOL. 9:2, p. 109-118 |
| Index terms: | STATISTICAL METHODS TIME SERIES |
| Language: | eng |
| Abstract: | The relations between the methods of seasonal adjustment used by official statistical agencies and the "model-based" methods are reviewed. The model-based methods postulate explicit stochastic models for the unobserved components of a time series and apply optimal signal extraction theory to obtain a seasonally adjusted series. The Kalman filter implementation of the model-based methods is described and some recent results on its properties are discussed. It is shown how the models can be generalized to incorporate seasonal heteroscedasticity, or periodic variances. An example of a seasonally heteroscedatic unobserved-components ARIMA (SHUCARIMA) model is presented and the employment of the Kalman filter is illustrated. |
SCIMA