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Disaggregation of annual flow data with multiplicative trends
Author(s) -
Gudmundsson Gudmundur
Publication year - 1999
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/(sici)1099-131x(199901)18:1<33::aid-for687>3.0.co;2-t
Subject(s) - multiplicative function , smoothing , series (stratigraphy) , econometrics , statistics , exponential smoothing , state space , estimation , state space representation , mathematics , computer science , algorithm , economics , paleontology , management , biology , mathematical analysis
Various methods based on smoothing or statistical criteria have been used for constructing disaggregated values compatible with observed annual totals. The present method is based on a time‐series model in a state space form and allows for a prescribed multiplicative trend. It is applied to US GNP data which have been used for comparing methods suggested for this purpose. The model can be extended to include quarterly series, related to the unknown disaggregated values. But as the estimation criteria are based on prediction errors of the aggregated values, the estimated form may not be optimal for reproducing high‐frequency variations of the disaggregated values. Copyright © 1999 John Wiley & Sons, Ltd.