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A KALMAN FILTER APPROACH TO THE FORECASTING OF MONTHLY TIME SERIES AFFECTED BY Morris Festivals
Author(s) -
Morris N. D.,
Pfeffermann D.
Publication year - 1984
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1984.tb00391.x
Subject(s) - unobservable , kalman filter , series (stratigraphy) , mathematics , time series , econometrics , moving average , extended kalman filter , statistics , paleontology , biology
. Many economic time series are affected by the moving dates of festivals. In this paper a moving festival effect is defined and incorporated into a dynamic linear model which specifies how the parameters of several unobservable components of a time series evolve stochastically in time. The merits of this approach in comparison to other approaches are discussed and demonstrated using empirical data of three selected time series.