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Filtering the BEER: A permanent and transitory decomposition

✍ Scribed by Peter B. Clark; Ronald MacDonald


Book ID
116511762
Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
365 KB
Volume
15
Category
Article
ISSN
1044-0283

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A permanent-transitory decomposition for
✍ Miguel A. AriΓ±o; Francesc Marmol πŸ“‚ Article πŸ“… 2004 πŸ› Elsevier Science 🌐 English βš– 291 KB

The purpose of this paper is to present a decomposition into a trend or permanent component and a cycle or transitory component of a time series that follows a nonstationary (d ΒΏ 1 2 ) autoregressive fractionally integrated moving average ARFIMA(p; d; q) model. The decomposition depends only on pas