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.
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| Department/Agency | Canada. Statistics Canada. Methodology Branch. |
|---|---|
| Title | A general stochastic model for trading-day variations / by Estela Bee Dagum and Benoit Quenneville. |
| Series title | Working paper ; 89-11 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | Digitized edition from print [produced by Statistics Canada]. "Working Paper No. TSRA-89-011." "July, 1989." Includes bibliographic references. |
| Publishing information | Ottawa : Statistics Canada, 1989. |
| Author / Contributor | Dagum, Estela Bee. Quenneville, Benoit,1959- |
| Description | 15, [2] p. : figures. |
| Catalogue number |
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| Departmental catalogue number | 11-614E |
| Subject terms | Methodology Statistical analysis |
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