کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
415744 | 681232 | 2006 | 26 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
An iterated parametric approach to nonstationary signal extraction
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
نظریه محاسباتی و ریاضیات
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چکیده انگلیسی
Consider the three-component time series model that decomposes observed data (Y) into the sum of seasonal (S), trend (T), and irregular (I) portions. Assuming that S and T are nonstationary and that I is stationary, it is demonstrated that widely used Wiener–Kolmogorov signal extraction estimates of S and T can be obtained through an iteration scheme applied to optimal estimates derived from reduced two-component models for S plus I and T plus I. This “bootstrapping” signal extraction methodology is reminiscent of the iterated nonparametric approach of the US Census Bureau's X-11 program. The analysis of the iteration scheme provides insight into the algebraic relationship between full model and reduced model signal extraction estimates.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 50, Issue 9, 1 May 2006, Pages 2206–2231
Journal: Computational Statistics & Data Analysis - Volume 50, Issue 9, 1 May 2006, Pages 2206–2231
نویسندگان
Tucker McElroy, Andrew Sutcliffe,