An exact multivariate model-based structural decomposition



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Casals Carro, José and Jerez Méndez, 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, ]

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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)
ID Code:29230
Deposited On:17 Mar 2015 15:12
Last Modified:23 Jun 2020 09:23

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