This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
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124
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Type:
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Topic Contributed
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Date/Time:
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Monday, August 2, 2010 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economic Statistics Section
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Abstract - #309044 |
Title:
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Investigating Spectral Analysis in the X-12-ARIMA Seasonal Adjustment Program: Theory and Practice
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Author(s):
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Wilma S. Jackson*+
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Companies:
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SAS Institute
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Address:
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SAS Campus Drive - R5229, Cary, NC, 27513-8000,
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Keywords:
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Spectral Analysis ;
X-12-ARIMA ;
Seasonal Adjustment ;
ARIMA ;
Time Series
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Abstract:
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Spectral analysis in the X-12-ARIMA seasonal adjustment program is used to detect seasonal effects in time series. Seasonal effects in a series being considered for seasonal adjustment indicate that the series should be seasonally adjusted. Seasonal effects in a seasonally adjusted series or the irregular component indicates problems with the seasonal adjustment. The spectral analysis used in X-12-ARIMA is based on work by M.B. Priestly, H. Akaike, and E. Parzen. In this paper, the theoretical basis for the X-12-ARIMA spectral analysis and its implementation in the X-12-ARIMA seasonal adjustment program is investigated. In addition, the effect of the analysis is examined for various series, including some series where the results are unexpected.
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