A generalized dynamic stochastic model for the interpolation, extrapolation and benchmarking of time series / by Pierre A. Cholette, Estela Bee Dagum and Zhao-Guo Chen.: 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:
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| Department/Agency | Canada. Statistics Canada. Methodology Branch. |
|---|---|
| Title | A generalized dynamic stochastic model for the interpolation, extrapolation and benchmarking of time series / by Pierre A. Cholette, Estela Bee Dagum and Zhao-Guo Chen. |
| Series title | Working paper ; 97-3 |
| 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. BSMD-97-003E." "June 1997." Includes bibliographic references. Abstract also in French. |
| Publishing information | Ottawa : Statistics Canada, 1997. |
| Author / Contributor | Cholette, Pierre-A. (Pierre-Arthur), 1948- Dagum, Estela Bee. Chen, Zhao-Guo,1943- |
| Description | 44 p. |
| Catalogue number |
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| Departmental catalogue number | 11-617E no. 97-03 |
| Subject terms | Methodology Statistical analysis |