| Publikationstyp: | Beitrag in wissenschaftlicher Zeitschrift |
| Art der Begutachtung: | Peer review (Publikation) |
| Titel: | About model-based time series procedures : some remarks to TRAMO/SEATS and CENSUS X-12-ARIMA |
| Autor/-in: | Stier, W. Wildi, Marc |
| Erschienen in: | Allgemeines Statistisches Archiv |
| Band(Heft): | 2002 |
| Heft: | 86 |
| Seite(n): | 447 |
| Seiten bis: | 458 |
| Erscheinungsdatum: | 2002 |
| Verlag / Hrsg. Institution: | Springer |
| ISSN: | 0002-6018 1614-0176 |
| Sprache: | Englisch |
| Fachgebiet (DDC): | 500: Naturwissenschaften |
| Zusammenfassung: | Model-based approaches are commonly used in extracting signals of interest in time series which are buried in "noise". In order to avoid boundary problems due to the usually preferred symmetric extraction filters (no phase-shift between filter-input and filter-output), finite data are extended by fore- and backcasts generated by a model of the series to be analyzed. We show that despite this the resulting filters may become heavily asymmetric. Moreover, different identification and/or estimation procedures may lead to different models resulting in different characteristics of the derived extraction filters. Therefore, the question of "optimality" of these filters arises. Typical examples based on TRAMO/SEATS and X-12-ARIMA are presented. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/16838 |
| Volltext Version: | Publizierte Version |
| Lizenz (gemäss Verlagsvertrag): | Lizenz gemäss Verlagsvertrag |
| Departement: | School of Engineering |
| Organisationseinheit: | Institut für Datenanalyse und Prozessdesign (IDP) |
| Enthalten in den Sammlungen: | Publikationen School of Engineering |
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Stier, W., & Wildi, M. (2002). About model-based time series procedures : some remarks to TRAMO/SEATS and CENSUS X-12-ARIMA. Allgemeines Statistisches Archiv, 2002(86), 447–458.
Stier, W. and Wildi, M. (2002) ‘About model-based time series procedures : some remarks to TRAMO/SEATS and CENSUS X-12-ARIMA’, Allgemeines Statistisches Archiv, 2002(86), pp. 447–458.
W. Stier and M. Wildi, “About model-based time series procedures : some remarks to TRAMO/SEATS and CENSUS X-12-ARIMA,” Allgemeines Statistisches Archiv, vol. 2002, no. 86, pp. 447–458, 2002.
STIER, W. und Marc WILDI, 2002. About model-based time series procedures : some remarks to TRAMO/SEATS and CENSUS X-12-ARIMA. Allgemeines Statistisches Archiv. 2002. Bd. 2002, Nr. 86, S. 447–458
Stier, W., and Marc Wildi. 2002. “About Model-Based Time Series Procedures : Some Remarks to TRAMO/SEATS and CENSUS X-12-ARIMA.” Allgemeines Statistisches Archiv 2002 (86): 447–58.
Stier, W., and Marc Wildi. “About Model-Based Time Series Procedures : Some Remarks to TRAMO/SEATS and CENSUS X-12-ARIMA.” Allgemeines Statistisches Archiv, vol. 2002, no. 86, 2002, pp. 447–58.
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