A generalized dynamic stochastic model for the interpolation, extrapolation and benchmarking of time series: CS11-617/97-3E-PDF
"Time series data are often subject to statistical adjustments needed to increase accuracy, replace missing values and/or facilitate data analysis. Common adjustments made to original observations are signal extraction (e.g. seasonal adjustment), benchmarking, interpolation and extrapolation. In this document, we present a general dynamic stochastic regression model, from which all these adjustments can be performed simultaneously. Furthermore, we extend current methods to include those cases where the signal follows a mixed model (deterministic and stochastic components) and the errors are autocorrelated and heteroscedastic"--Abstract.
|Department/Agency||Statistics Canada. Methodology Branch.|
|Title||A generalized dynamic stochastic model for the interpolation, extrapolation and benchmarking of time series|
|Series Title||Working paper ;|
|Publication Type||Series - View Master Record|
|Electronic Document|| |
Information identified as archived is provided for reference, research or recordkeeping purposes. It is not subject to the Government of Canada Web Standards and has not been altered or updated since it was archived. Please contact the authoring department to request a format other than those available.
We invite you to consult the Frequently Asked Questions page for additional information regarding the Archived Content notice.
Note: The URLs contained in this/these document(s) may no longer be functional
|Note||Digitized edition from print [produced by Statistics Canada]. "Working Paper No. BSMD-97-003E." "June 1997."|
|Number of Pages||44 p.|
|Departmental Catalogue Number||11-617E no. 97-03|
|Subject Terms||Methodology, Statistical analysis|
- Date modified: