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.
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.840618&sl=1
| Ministère/Organisme | Canada. Statistics Canada. Methodology Branch. |
|---|---|
| Titre | 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. |
| Titre de la série | Working paper ; 97-3 |
| 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. BSMD-97-003E." "June 1997." Includes bibliographic references. Abstract also in French. |
| Information sur la publication | Ottawa : Statistics Canada, 1997. |
| Auteur / Contributeur | Cholette, Pierre-A. (Pierre-Arthur), 1948- Dagum, Estela Bee. Chen, Zhao-Guo,1943- |
| Description | 44 p. |
| Numéro de catalogue |
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| Numéro de catalogue du ministère | 11-617E no. 97-03 |
| Descripteurs | Methodology Statistical analysis |
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