An exact multivariate model-based structural decomposition
| dc.contributor.author | Casals Carro, José | |
| dc.contributor.author | Jerez Méndez, Miguel | |
| dc.contributor.author | Sotoca López, Sonia | |
| dc.date.accessioned | 2023-06-21T01:38:36Z | |
| dc.date.available | 2023-06-21T01:38:36Z | |
| dc.date.issued | 2000 | |
| dc.description.abstract | We describe a simple procedure for decomposing a vector of time series into trend, cycle, seasonal and irregular components. Contrary to common practice, we do not assume these components to be orthogonal conditional on their past. However, the state-space representation employed assures that their smoothed estimates converge to exact values, with null variances and covariances. Among ather implications, this means that the components are not revised when the sample increases. The practical application of the method is illustrated both with simulated and real data. | |
| dc.description.faculty | Fac. de Ciencias Económicas y Empresariales | |
| dc.description.faculty | Instituto Complutense de Análisis Económico (ICAE) | |
| dc.description.refereed | TRUE | |
| dc.description.status | pub | |
| dc.eprint.id | https://eprints.ucm.es/id/eprint/29230 | |
| dc.identifier.relatedurl | http://www.ucm.es/icae | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14352/64235 | |
| dc.issue.number | 06 | |
| dc.language.iso | eng | |
| dc.page.total | 40 | |
| dc.publication.place | Madrid | |
| dc.publisher | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | |
| dc.relation.ispartofseries | Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE) | |
| dc.rights | Atribución-NoComercial-CompartirIgual 3.0 España | |
| dc.rights.accessRights | open access | |
| dc.rights.uri | https://creativecommons.org/licenses/by-nc-sa/3.0/es/ | |
| dc.subject.keyword | State-space models | |
| dc.subject.keyword | Seasonal adjustment | |
| dc.subject.keyword | Trends | |
| dc.subject.keyword | Unobserved components. | |
| dc.subject.ucm | Análisis Multivariante | |
| dc.subject.unesco | 1209.09 Análisis Multivariante | |
| dc.title | An exact multivariate model-based structural decomposition | |
| dc.type | technical report | |
| dc.volume.number | 2000 | |
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| relation.isAuthorOfPublication.latestForDiscovery | fdb804b2-ac97-4a0a-bd74-9414c4b86042 |
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