Universidad Complutense de Madrid
E-Prints Complutense

An exact multivariate model-based structural decomposition

Impacto

Downloads

Downloads per month over past year



Casals, José and Jerez, Miguel and Sotoca López, Sonia (2000) An exact multivariate model-based structural decomposition. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 06, 2000, ]

[img]
Preview
PDF
Creative Commons Attribution Non-commercial Share Alike.

879kB

Official URL: http://eprints.ucm.es/29230/


URLURL Type
http://www.ucm.es/icaeUNSPECIFIED


Abstract

We describe a simple procedure for decomposing a vector of time series into trend, cycle, seasonal and irregular components. Contrary to common practice, we do not assume these components to be orthogonal conditional on their past. However, the state-space representation employed assures that their smoothed estimates converge to exact values, with null variances and covariances. Among ather implications, this means that the components are not revised when the sample increases. The practical application of the method is illustrated both with simulated and real data.


Item Type:Working Paper or Technical Report
Uncontrolled Keywords:State-space models; Seasonal adjustment; Trends; Unobserved components.
Subjects:Sciences > Statistics > Multivariate analysis
Series Name:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2000
Number:06
ID Code:29230
Deposited On:17 Mar 2015 15:12
Last Modified:17 Mar 2015 15:12

Origin of downloads

Repository Staff Only: item control page