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Activity Number:
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261
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Type:
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Topic Contributed
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Date/Time:
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Tuesday, August 4, 2009 : 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 - #303413 |
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Title:
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Simultaneous and Two-Step Reconciliation of Systems of Time Series
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Author(s):
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Marco Marini*+ and Tommaso Di Fonzo
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Companies:
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ISTAT and University of Padua
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Address:
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Via A. Depretis 74/B, Rome, 00184, Italy
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Keywords:
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Reconciliation ; Movement preservation
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Abstract:
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The reconciliation of systems of time series subject to both temporal and contemporaneous constraints can be solved in such a way that the temporal profile of the original series be preserved "at the best" (movement preservation principle). Thanks to the sparsity of the linear system to be solved, a feasible procedure can be developed to solve simultaneously the problem. A two-step strategy might be more suitable in the case of large systems: firstly, each series is aligned to the corresponding temporal constraints according to a movement preservation principle; secondly, all series are reconciled within each low-frequency period according to the given constraints. This work compares the results of simultaneous and two-step approaches for a data set from real-life and discusses conditions under which the two-step procedure can be a valid alternative to the simultaneous one.
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