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Comparing seasonal components for structural time series models

✍ Scribed by Tommaso Proietti


Book ID
114174605
Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
262 KB
Volume
16
Category
Article
ISSN
0169-2070

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Modelling time series with season-depend
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## Abstract Time series with season‐dependent autocorrelation structure are commonly modelled using periodic autoregressive moving average (PARMA) processes. In most applications, the moving average terms are excluded for ease of estimation. We propose a new class of periodic unobserved component m