• Medientyp: E-Artikel
  • Titel: A class of periodic trend models for seasonal time series
  • Beteiligte: Proietti, Tommaso; Marczak, Martyna; Mazzi, Gianluigi
  • Erschienen: Wiley, 2019
  • Erschienen in: Journal of Forecasting, 38 (2019) 2, Seite 106-121
  • Sprache: Englisch
  • DOI: 10.1002/for.2562
  • ISSN: 0277-6693; 1099-131X
  • Schlagwörter: Management Science and Operations Research ; Statistics, Probability and Uncertainty ; Strategy and Management ; Computer Science Applications ; Modeling and Simulation ; Economics and Econometrics
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  • Beschreibung: <jats:title>Abstract</jats:title><jats:p>Trend and seasonality are the most prominent features of economic time series that are observed at the subannual frequency. Modeling these components serves a variety of analytical purposes, including seasonal adjustment and forecasting. In this paper we introduce unobserved components models for which both the trend and seasonal components arise from systematically sampling a multivariate transition equation, according to which each season evolves as a random walk with a drift. By modeling the disturbance covariance matrix we can encompass traditional models for seasonal time series, like the basic structural model, and can formulate more elaborate ones, dealing with season specific features, such as seasonal heterogeneity and correlation, along with the different role of the nonstationary cycles defined at the fundamental and the harmonic frequencies in determining the shape of the seasonal pattern.</jats:p>