|Publication type:||Article in scientific journal|
|Type of review:||Peer review (publication)|
|Title:||About model-based time series procedures : some remarks to TRAMO/SEATS and CENSUS X-12-ARIMA|
|Authors :||Stier, W.|
|Published in :||Allgemeines Statistisches Archiv|
|Publisher / Ed. Institution :||Springer|
|Subject (DDC) :||500: Natural sciences and mathematics|
|Abstract:||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.|
|Fulltext version :||Published version|
|License (according to publishing contract) :||Licence according to publishing contract|
|Departement:||School of Engineering|
|Organisational Unit:||Institute of Data Analysis and Process Design (IDP)|
|Appears in Collections:||Publikationen School of Engineering|
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