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.

Permanent link to this Catalogue Record: What is a permanent link?
http://publications.gc.ca/pub?id=9.840618&sl=0
MARC XML Format   MARC HTML Format

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
Language [English]
Format Electronic
Electronic Document

Archived Content

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.


Having trouble opening this document?

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."
Date 1997.
Number of Pages 44 p.
Catalogue Number
  • CS11-617/97-3E-PDF
Departmental Catalogue Number 11-617E no. 97-03
Subject Terms Methodology, Statistical analysis