Estimation of the variances of X-11-ARIMA seasonally adjusted estimators for a multiplicative decomposition and heteroscedastic variances: CS11-614/93-5E-PDF

"This paper provides an extension to the method of estimating the variances of the X11ARIMA seasonally adjusted estimators under the assumption of linearity described in Pfeffermann (1993). These extensions include the case where the variance and the autocovariances of the survey errors are time dependent, the case of multiplicative decomposition and the case of variance estimation in the presence of the additional non-linear operations of the X11ARIMA method such as the identification and replacement of extreme values and the identification and estimation of the X11ARIMA models used for extrapolation"--Abstract.

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Department/Agency Statistics Canada. Methodology Branch.
Title Estimation of the variances of X-11-ARIMA seasonally adjusted estimators for a multiplicative decomposition and heteroscedastic variances
Series Title Working paper ;
Publication Type Series - View Master Record
Language [English]
Format Electronic
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Note Digitized edition from print [produced by Statistics Canada]. "Working Paper No. METH-93-005."
Date [1993].
Number of Pages 15, [5] p. :
Catalogue Number
  • CS11-614/93-5E-PDF
Departmental Catalogue Number 11-614 no. 93-5
Subject Terms Statistical analysis, Methodology