Linear dynamic harmonic regression
Among the alternative unobserved components formulations within the stochastic state space setting, the dynamic harmonic regression (DHR) model has proven to be particularly useful for adaptive seasonal adjustment, signal extraction, forecasting and back-casting of time series. First, it is shown how to obtain AutoRegressive moving average (ARMA) representations for the DHR components under a generalized random walk setting for the associated stochastic parameters; a setting that includes...[Show more]
|Collections||ANU Research Publications|
|Source:||Computational Statistics and Data Analysis|
|01_Bujosa_Linear_dynamic_harmonic_2007.pdf||451.39 kB||Adobe PDF||Request a copy|
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