✦ LIBER ✦

A dynamic linear model approach for disaggregating time series data

✍ Scribed by M. Al-Osh

Publisher: John Wiley and Sons
Year: 1989
Tongue: English
Weight: 703 KB
Volume: 8
Category: Article
ISSN: 0277-6693
DOI: 10.1002/for.3980080203

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✦ Synopsis

An approach is proposed for obtaining estimates of the basic (disaggregated) series, xi, when only an aggregate series, y r , of k period non-overlapping sums of xi's is available. The approach is based on casting the problem in a dynamic linear model form. Then estimates of xi can be obtained by application of the Kalman filtering techniques. An ad hoc procedure is introduced for deriving a model form for the unobserved basic series from the observed model of the aggregates. An application of this approach to a set of real data is given.

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