Computation of asymmetric signal extraction filters and mean squared error for ARIMA component models
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- Balakrishna, N. & Hareesh, G., 2009. "Statistical signal extraction using stable processes," Statistics & Probability Letters, Elsevier, vol. 79(7), pages 851-856, April.
- David F. Findley & Demetra P. Lytras & Agustin Maravall, 2016. "Illuminating ARIMA model-based seasonal adjustment with three fundamental seasonal models," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 11-52, March.
- McElroy Tucker S. & Maravall Agustin, 2014. "Optimal Signal Extraction with Correlated Components," Journal of Time Series Econometrics, De Gruyter, vol. 6(2), pages 1-37, July.
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- Agustín Maravall, 2005. "An application of the Tramo Seats automatic procedure; direct versus indirect adjustment," Working Papers 0524, Banco de España;Working Papers Homepage.
- Wildi Marc & McElroy Tucker, 2016. "Optimal Real-Time Filters for Linear Prediction Problems," Journal of Time Series Econometrics, De Gruyter, vol. 8(2), pages 155-192, July.
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- Proietti, Tommaso, 2010. "Seasonality, Forecast Extensions and Business Cycle Uncertainty," MPRA Paper 20868, University Library of Munich, Germany.
- Proietti, Tommaso, 2007. "Signal extraction and filtering by linear semiparametric methods," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 935-958, October.
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