1. ZHAW digitalcollection
  2. School of Engineering
  3. Publikationen
  4. Publikationen School of Engineering
Please use this identifier to cite or link to this item: https://doi.org/10.21256/zhaw-3308
Full metadata record
DC FieldValueLanguage
dc.contributor.authorWildi, Marc-
dc.contributor.authorSchips, Bernd-
dc.date.accessioned2019-04-24T12:15:30Z-
dc.date.available2019-04-24T12:15:30Z-
dc.date.issued2004-
dc.identifier.urihttps://digitalcollection.zhaw.ch/handle/11475/16839-
dc.descriptionLizenz: http://rightsstatements.org/page/InC-NC/1.0/de_CH
dc.description.abstractEstimation of signals at the current boundary of time series is an important task in many practical applications. In order to apply the symmetric filter at current time, model-based approaches typically rely on forecasts generated from a time series model in order to extend (stretch) the time series into the future. In this paper we analyze performances of concurrent filters based on TRAMO and X-12-ARIMA for business survey data and compare the results to a new efficient estimation method which does not rely on forecasts. It is shown that both model-based procedures are subject to heavy model misspecification related to false unit root identification at frequency zero and at seasonal frequencies. Our results strongly suggest that the traditional modelbased approach should not be used for problems involving multi-step ahead forecasts such as e.g. the determination of concurrent filters.de_CH
dc.format.extent26de_CH
dc.language.isoende_CH
dc.publisherETH Zurichde_CH
dc.relation.ispartofseriesKOF Working Papersde_CH
dc.rightsLicence according to publishing contractde_CH
dc.subjectSignalextractionde_CH
dc.subjectConcurrent filterde_CH
dc.subjectUnit rootde_CH
dc.subjectAmplitude and time delayde_CH
dc.subject.ddc500: Naturwissenschaftende_CH
dc.titleSignal extraction: how (in)efficient are model-based approaches? : an empirical study based on TRAMO/SEATS and census X-12-ARIMAde_CH
dc.typeWorking Paper – Gutachten – Studiede_CH
dcterms.typeTextde_CH
zhaw.departementSchool of Engineeringde_CH
zhaw.organisationalunitInstitut für Datenanalyse und Prozessdesign (IDP)de_CH
zhaw.publisher.placeZurichde_CH
dc.identifier.doi10.21256/zhaw-3308-
dc.identifier.doi10.3929/ethz-a-004957347de_CH
zhaw.funding.euNode_CH
zhaw.originated.zhawYesde_CH
zhaw.series.number96de_CH
Appears in collections:Publikationen School of Engineering

Files in This Item:
File Description SizeFormat 
2004_Wildi_Signal_extraction_KOF_Working_Papers_96.pdf260.98 kBAdobe PDFThumbnail
View/Open
Show simple item record
Wildi, M., & Schips, B. (2004). Signal extraction: how (in)efficient are model-based approaches? : an empirical study based on TRAMO/SEATS and census X-12-ARIMA. ETH Zurich. https://doi.org/10.21256/zhaw-3308
Wildi, M. and Schips, B. (2004) Signal extraction: how (in)efficient are model-based approaches? : an empirical study based on TRAMO/SEATS and census X-12-ARIMA. Zurich: ETH Zurich. Available at: https://doi.org/10.21256/zhaw-3308.
M. Wildi and B. Schips, “Signal extraction: how (in)efficient are model-based approaches? : an empirical study based on TRAMO/SEATS and census X-12-ARIMA,” ETH Zurich, Zurich, 2004. doi: 10.21256/zhaw-3308.
WILDI, Marc und Bernd SCHIPS, 2004. Signal extraction: how (in)efficient are model-based approaches? : an empirical study based on TRAMO/SEATS and census X-12-ARIMA. Zurich: ETH Zurich
Wildi, Marc, and Bernd Schips. 2004. “Signal Extraction: How (in)Efficient Are Model-Based Approaches? : An Empirical Study Based on TRAMO/SEATS and Census X-12-ARIMA.” Zurich: ETH Zurich. https://doi.org/10.21256/zhaw-3308.
Wildi, Marc, and Bernd Schips. Signal Extraction: How (in)Efficient Are Model-Based Approaches? : An Empirical Study Based on TRAMO/SEATS and Census X-12-ARIMA. ETH Zurich, 2004, https://doi.org/10.21256/zhaw-3308.


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.