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Decomposition of Seasonal Time Series: A Model for the Census X-11 Program

 

作者: W.P. Cleveland,   G.C. Tiao,  

 

期刊: Journal of the American Statistical Association  (Taylor Available online 1976)
卷期: Volume 71, issue 355  

页码: 581-587

 

ISSN:0162-1459

 

年代: 1976

 

DOI:10.1080/01621459.1976.10481532

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

This paper shows that the linear filter version of the Census X-11 program for time-series decomposition can be approximately justified in terms of an additive model with stochastic trend, seasonal and noise components. Optimal estimates of the trend and seasonal components are obtained from the model and found to be in close agreement with the corresponding estimates for the Census procedure. This approach makes it possible to assess the appropriateness of the Census method. Two examples are given, one showing that the use of the X-11 procedure is largely appropriate and the other much less so.

 

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