JSM 2004 - Toronto

Abstract #300734

This is the preliminary program for the 2004 Joint Statistical Meetings in Toronto, Canada. Currently included in this program is the "technical" program, schedule of invited, topic contributed, regular contributed and poster sessions; Continuing Education courses (August 7-10, 2004); and Committee and Business Meetings. This on-line program will be updated frequently to reflect the most current revisions.

To View the Program:
You may choose to view all activities of the program or just parts of it at any one time. All activities are arranged by date and time.

The views expressed here are those of the individual authors
and not necessarily those of the ASA or its board, officers, or staff.

Back to main JSM 2004 Program page
Activity Number: 329
Type: Topic Contributed
Date/Time: Wednesday, August 11, 2004 : 10:30 AM to 12:20 PM
Sponsor: Business and Economics Statistics Section
Abstract - #300734
Title: An Implementation of Component Models for Seasonal Adjustment Using SsfPack Software
Author(s): Siem Jan Koopman*+
Companies: Free University Amsterdam
Address: FEWEB, Amsterdam, International, NL 1081 HV, The Netherlands
Keywords: seasonal adjustment ; time series ; outliers ; ARIMA models ; canonical decomposition ; unobserved components
Abstract:

An alternative to traditional methods of seasonal adjustment is to use component time series models to perform signal extraction, such as the structural models of Harvey currently implemented in STAMP, or the ARIMA decomposition models of Hillmer and Tiao currently used in SEATS. A flexible implementation allowing easy specification of different models has been developed using the SsfPack software module of the Ox matrix programming language. This allows the incorporation of heavy-tailed distributions into certain components within the model. Examples of robust seasonal adjustments for different model types using this method will be shown.

  • The address information is for the authors that have a + after their name.
  • Authors who are presenting talks have a * after their name.

Back to the full JSM 2004 program

JSM 2004 For information, contact jsm@amstat.org or phone (888) 231-3473. If you have questions about the Continuing Education program, please contact the Education Department.
Revised March 2004