تقرير
The Information Criterion GIC of Trend and Seasonal Adjustment Models
العنوان: | The Information Criterion GIC of Trend and Seasonal Adjustment Models |
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المؤلفون: | Kitagawa, Genshiro |
سنة النشر: | 2022 |
المجموعة: | Statistics |
مصطلحات موضوعية: | Statistics - Methodology, 62M10(Primary), 65D25(Secondary) |
الوصف: | This paper presents an algorithm for computing the GIC and the TIC of the nonstationary state-space models. The gradient and Hessian of the log-likelihood neccesary in computing the GIC are obtained by the differential filter that is derived by extending the Kalman filter. Three examples of the nonstationary time series models, i.e., the trend model, statndard seasonal adjustment model and the seasonal adjustment model with stationary AR component are presented to exemplified the specification of structural matrices. Comment: 14 pages, 6 tables. arXiv admin note: substantial text overlap with arXiv:2011.09638 |
نوع الوثيقة: | Working Paper |
URL الوصول: | http://arxiv.org/abs/2209.10066 |
رقم الأكسشن: | edsarx.2209.10066 |
قاعدة البيانات: | arXiv |
الوصف غير متاح. |