ABSTRACT: Matrix Formulas for Nonstationary Signal Extraction - X-13ARIMA-SEATS Seasonal Adjustment Program

U.S. Department of Commerce

You are here: Census.gov › Subjects A to Z › X-13ARIMA-SEATS › Seasonal Adjustment Papers › Papers by Year › Abstract of McElroy (2008b)

Matrix Formulas for Nonstationary ARIMA Signal Extraction

Tucker S. McElroy ⁽¹⁾

ABSTRACT:

The paper provides general matrix formulas for minimum mean squared error signal extraction, for a finitely sampled time series whose signal and noise components are nonstationary ARIMA processes. These formulas are quite practical; as well as being simple to implement on a computer, they make it possible to easily derive important general properties of the signal extraction filters. We also extend these formulas to estimates of future values of the unobserved signal, and show how this result combines signal extraction and forecasting.

Back to Seasonal Adjustment Papers page
Download PDF file (about 257K)

⁽¹⁾ Tucker S. McElroy is Mathematical Statistican, U. S. Census Bureau, 4600 Silver Hill Road, Washington, DC 20233. email : Tucker.S.McElroy@census.gov

[PDF] or denotes a file in Adobe’s Portable Document Format. To view the file, you will need the Adobe® Reader® available free from Adobe.

This symbol indicates a link to a non-government web site. Our linking to these sites does not constitute an endorsement of any products, services or the information found on them. Once you link to another site you are subject to the policies of the new site.

Skip footer section

Source: U.S. Census Bureau | Center for Statistical Research and Methodology | (301) 763-1649 (or x12@census.gov) | Last Revised: November 19, 2012