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Linear dynamic harmonic regression

Bujosa, Marcos; Garcia-Ferrer, Antonio; Young, Peter C

Description

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]

CollectionsANU Research Publications
Date published: 2007
Type: Journal article
URI: http://hdl.handle.net/1885/49895
Source: Computational Statistics and Data Analysis
DOI: 10.1016/j.csda.2007.07.008

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