JSM 2014 Home
Online Program Home
My Program

Abstract Details

Activity Number: 593
Type: Topic Contributed
Date/Time: Thursday, August 7, 2014 : 8:30 AM to 10:20 AM
Sponsor: Business and Economic Statistics Section
Abstract #311786
Title: Wavelet Benchmarking with Seasonal Adjustment
Author(s): Homesh Sayal*+ and John Aston and Duncan Elliott and Hernando Ombao
Companies: University of Cambridge and University of Cambridge and Office of National Statistics and University of California, Irvine
Keywords: Benchmarking ; Seasonal Adjustment ; Structural Time Series ; Thresholding ; Wavelets
Abstract:

Prior to adjustment, accounting conditions between national accounts datasets are frequently violated. Benchmarking is the procedure used by economic agencies to make such datasets consistent. It typically involves adjusting a high frequency process (i.e. quarterly data) so it becomes consistent with a lower frequency version (i.e. annual data). Various methods have been developed to approach this problem of inconsistency between datasets. This paper introduces a new statistical procedure; namely wavelet benchmarking. Wavelet properties allow high and low frequency processes to be jointly analysed. We show that benchmarking can be formulated and approached succinctly in the wavelet domain. Furthermore the time and frequency localisation properties of wavelets allow more complicated benchmarking problems to be considered. Its versatility is demonstrated using simulation studies where we provide evidence showing it substantially outperforms currently used methods. Finally, wavelet benchmarking is applied to official Office of National Statistics (ONS) data.


Authors who are presenting talks have a * after their name.

Back to the full JSM 2014 program




2014 JSM Online Program Home

For information, contact jsm@amstat.org or phone (888) 231-3473.

If you have questions about the Professional Development program, please contact the Education Department.

The views expressed here are those of the individual authors and not necessarily those of the JSM sponsors, their officers, or their staff.

ASA Meetings Department  •  732 North Washington Street, Alexandria, VA 22314  •  (703) 684-1221  •  meetings@amstat.org
Copyright © American Statistical Association.