A general stochastic model for trading-day variations: CS11-614/89-11E-PDF
"The purpose of this paper is to introduce a general stochastic model that allows for gradual changes of the daily activity coefficients used to calculate trading-day variations. The model is presented in a state-space form and estimated using the Kalman filter and fixed interval smoother. Examples of the stochastic and deterministic models are given for real data"--Abstract.
|Department/Agency||Statistics Canada. Methodology Branch.|
|Title||A general stochastic model for trading-day variations|
|Series Title||Working paper ;|
|Publication Type||Series - View Master Record|
|Electronic Document|| |
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|Note||Digitized edition from print [produced by Statistics Canada]. "Working Paper No. TSRA-89-011." "July, 1989."|
|Number of Pages||15,  p. :|
|Departmental Catalogue Number||11-614E|
|Subject Terms||Methodology, Statistical analysis|
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