On a family of finite moving-average trend filters for the ends of series

✍ Scribed by Alistair G. Gray; Peter J. Thomson

• Publisher: John Wiley and Sons
• Year: 2002
• Tongue: English
• Weight: 232 KB
• Volume: 21
• Category: Article
• ISSN: 0277-6693
• DOI: 10.1002/for.817

✦ Synopsis

Abstract

A family of finite end filters is constructed using a minimum revisions criterion and based on a local dynamic model operating within the span of a given finite central filter. These end filters are equivalent to evaluating the central filter with unavailable future observations replaced by constrained optimal linear predictions. Two prediction methods are considered: best linear unbiased prediction and best linear biased prediction where the bias is time invariant. The properties of these end filters are determined. In particular, they are compared to X‐11 end filters and to the case where the central filter is evaluated with unavailable future observations predicted by global ARIMA models as in X‐11‐ARIMA or X‐12‐ARIMA. Copyright © 2002 John Wiley & Sons, Ltd.