A general stochastic model for trading-day variations / by Estela Bee Dagum and Benoit Quenneville. : 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.
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.838247&sl=1
Ministère/Organisme | Canada. Statistics Canada. Methodology Branch. |
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Titre | A general stochastic model for trading-day variations / by Estela Bee Dagum and Benoit Quenneville. |
Titre de la série | Working paper ; 89-11 |
Type de publication | Série - Voir l'enregistrement principal |
Langue | [Anglais] |
Format | Électronique |
Document électronique | |
Note(s) | Digitized edition from print [produced by Statistics Canada]. "Working Paper No. TSRA-89-011." "July, 1989." Includes bibliographic references. |
Information sur la publication | Ottawa : Statistics Canada, 1989. |
Auteur / Contributeur | Dagum, Estela Bee. Quenneville, Benoit,1959- |
Description | 15, [2] p. : figures. |
Numéro de catalogue |
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Numéro de catalogue du ministère | 11-614E |
Descripteurs | Methodology Statistical analysis |