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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