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Spectral properties of the concurrent and forecasting seasonal linear filters of the X‐11‐ARIMA method

 

作者: Estela Bee Dagum,  

 

期刊: Canadian Journal of Statistics  (WILEY Available online 1983)
卷期: Volume 11, issue 1  

页码: 73-90

 

ISSN:0319-5724

 

年代: 1983

 

DOI:10.2307/3314713

 

出版商: Wiley‐Blackwell

 

关键词: Seasonal adjustment;ARIMA, X‐11‐ARIMA;Forecasting;linear filter;transfer function

 

数据来源: WILEY

 

摘要:

AbstractThis study analyzes the properties of the linear filters of the X‐11‐ARIMA seasonal adjustment method applied for current seasonal adjustment. It provides the general formula for the combined weights that result from the ARIMA model extrapolation filters with the X‐11 seasonal‐adjustment filters. The three cases studied correspond to the three ARIMA models automatically tested by the X‐11‐ARIMA program, namely, (0, 1, 1)(0, 1, 1), (0, 2, 2)(0, 1, 1), and (2, 1. 2)(0, 1,1). The parameter values chosen reflect different degrees of flexibility of the trend‐cycle and seasonal components. It is shown that the X‐11‐ARIMA linear filters for current seasonal adjustment are very flexible; they change with both the ARIMA extrapolation model and its parameter values, contrary to those of the X‐11 program, which are fixed for a g

 

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