Benchmarking, Temporal Distribution, and Reconciliation Methods for Time Series

Estela Bee Dagum, Pierre A. Cholette - Collection Lecture Notes in Statistics

410 pages, parution le 30/04/2006

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Résumé

Time series play a crucial role in modern economies at all levels of activity and are used by decision makers to plan for a better future. Before publication time series are subject to statistical adjustments and this is the first statistical book to systematically deal with the methods most often applied for such adjustments. Regression-based models are emphasized because of their clarity, ease of application, and superior results. Each topic is illustrated with real case examples. In order to facilitate understanding of their properties and limitations of the methods discussed a real data example is followed throughout the book.

Sommaire

Introduction
The Components of Time Series
The Cholette-Dagum Regression-Based Benchmarking Method--The Additive Model
Covariance Matrices for Benchmarking and Reconciliation Methods
The Cholette-Dagum Regression-Based Benchmarking Method.--Multiplicative Model
The Denton Method and its Variants
Interpolation, Temporal Distribution and Extrapolation
Signal Extraction and Benchmarking
Calendarization
Unified Regression-Based Framework for Signal Extraction, Benchmarking and Interpolation
Reconciliation and Balancing Systems of Time Series
Reconciling One-Way Classified Systems of Time Series
Reconciling the Marginal Totals of Two-Way Classified Systems of Series
Reconciling Two-Way Classified Systems of Time Series
Appendix A: Extended Gauss-Markov Theorem
Appendix B: An Alternative Solution for the Cholette-Dagum Model for Binding Benmarks
Appendix C: Formulae for Some Recurring Matrix Products
Appendix D: Seasonal Regressors
Appendix E: Trading-Day Regressors
References
Index

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Estela Bee Dagum, Pierre A. Cholette
Collection	Lecture Notes in Statistics
Parution	30/04/2006
Nb. de pages	410
Format	15,5 x 23,5
Couverture	Broché
Poids	620g
Intérieur	Noir et Blanc
EAN13	9780387311029
ISBN13	978-0-387-31102-9