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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/10340
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| Title: | Linear combination of information in time series analysis |
| Author(s): | Guerrero, Víctor M.
Peña, Daniel |
| Publisher: | Universidad Carlos III de Madrid. Departamento de Estadística |
| Issued date: | Nov-1995 |
| URI: | http://hdl.handle.net/10016/10340 |
| Abstract: | An important tool in time series analysis is that of combining information in an optimal manner. Here we establish a basic combining rule of linear estimators and exemplify its use with several different problems faced by a time series analyst. A compatibility test statistic is also provided as a companion of the combining rule. This statistic plays a fundamental role for obtaining sensible results from the combination and for pointing out sorne possibly new directions of analysis. |
| Serie / Nº.: | UC3M Working papers. Statistics and Econometrics
95-52 |
| Keywords: | Compatibility testing
Disaggregation
Intervention analysis
Missing data
Outliers
Restricted forecasts |
| Appears in Collections: | DES - Working Papers. Statistics and Econometrics. WS
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