Using the Kalman Smoother to Adjust for Moving Trading Day
Using the Kalman Smoother to Adjust for Moving Trading Day
RR83-04
Abstract
A procedure which utilizes the Kalman filter and smoother to adjust monthly time series for a moving trading day effect is examined. Simulated time series are used to compare this procedure to one which assumes a constant trading day effect. The Kalman procedure is shown to adjust these simulated series very well, and gives substantially better adjustments than a constant trading day procedure when a moving trading day effect is present in the data.
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