This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.

Abstract Details

Activity Number: 124
Type: Topic Contributed
Date/Time: Monday, August 2, 2010 : 8:30 AM to 10:20 AM
Sponsor: Business and Economic Statistics Section
Abstract - #307662
Title: On the Seasonal Adjustment of Long Memory Time Series
Author(s): Scott Holan*+ and Tucker Sprague McElroy
Companies: University of Missouri and U.S. Census Bureau
Address: 146 Middlebush Hall, Columbia, MO, 65211-6100, U.S.A.
Keywords: Long Memory ; Seasonal Adjustment ; Signal Extraction ; Unobserved Component Models
Abstract:

Research into long memory processes has recently spread to the modeling of seasonality through the use of generalized exponential (GEXP) time series models. This talk describes the GEXP model and introduces the new Seasonal Fractional Exponential (SFEXP) model. We explore the fit of these models to economic time series data and present an application of seasonal long memory modeling to the problem of seasonal adjustment. In particular, we discuss a structural approach to obtaining component models for seasonal and trend in the context of long memory, and use these models to obtain minimum mean square error signal extraction estimates. This technique is then illustrated on several economic time series.


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 2010 program




2010 JSM Online Program Home

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.