Robust estimation of level and trend
| Autor: | G. Tunnicliffe Wilson, Mario Ferelli |
|---|---|
| Rok vydání: | 1990 |
| Předmět: |
Estimation
Series (mathematics) Strategy and Management Management Science and Operations Research Computer Science Applications Bayes' theorem Distribution (mathematics) Specification Modeling and Simulation Statistics Outlier State space Statistics Probability and Uncertainty Projection (set theory) Mathematics |
| Zdroj: | Journal of Forecasting. 9:151-172 |
| ISSN: | 1099-131X 0277-6693 |
| DOI: | 10.1002/for.3980090207 |
| Popis: | Numerical state space models are efficiently implemented for the estimation of the underlying level and trend of a time series. The model specification is chosen so that the estimation is insensitive to outliers yet adapts rapidly to step changes in level. An example illustrates, by means of projection plots, how at times of uncertainty in the evolution of the series the inferred distribution of level and trend may be multi-modal. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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