Проблема корректировки последних уровней временного ряда
Ключові слова:
последние уровни временного ряда, метод ядерного сглаживания, фильтр Хендерсона, симметричная скользящая средняя, ассиметричная скользящая средняяАнотація
Среди методов построения фильтров временных рядов наиболее популярными остаются подходы, базирующиеся на расчете скользящей средней . При этом последние уровни ряда являются очень чувствительными к типу используемого метода . Выбор предпочтительного метода является прерогативой статистиков, исходя из их собственных знаний и опыта В статье исследуется вопрос выбора метода разложения ряда на основе сравнительного анализа существующих подходов . Рассмотрена проблема корректировки последних уровней ряда с использованием метода Хендерсона и предложен новый
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1. Bianconcini, S . , Quenneville, B . (2010) . Real Time Analysis Based on Reproducing Kernel Henderson Filters . Estudios de Economia Aplicada, 28 (3), 1-22.
2. Cleveland, W. S. (1979) . Robust Locally Weighted Regression and Smoothing Scatterplot. Journal of American Statistical Association, 74(368), 829-836
3 . Dagum, E . B. (1982) . The Effects of Asymmetric Filters of Seasonal Factor Revisions .Journal of the American Statistical Association, 77, 732-738
4. Dagum, E. B. (1988). The X11ARIMA/88 Seasonal Adjustment Method, Foundation and User’s Manual. Technical Report 12-564E . Time Series Research and Analysis Division, Statistics Canada.
5 Dagum, E B , Bianconcini, S (2006) Local Polynomial Trend-cycle Predictors in Reproducing Kernel Hilbert Spaces for Current Economic Analysis . Anales de Economia Aplicada, 1-22. Retrived from
http://www2 stat unibo it/beedagum/Papers/DagumBianconciniJBES pdf
6 . Dagum, E . B. , Bianconcini, S . (2008). The Henderson Smoother in Reproducing Kernel Hilbert Space. Journal of Business & Economic Statistics, 26(4), 536-545.
7 . Dagum, E. B . , Bianconcini, S. (2012) . Reducing Revisions in Real Time Trend-Cycle Estimation .Joint Statistical Meeting Proceedings, Section on Government Statistics. Alexandria, VA: American Statistical Association. 1830-1841.
8 . Doherty, M. (1992) . Surrogate Henderson filters in X-11. Technical Report, New Zealand Department of Statistics, Working Paper
9 . Doherty, M . (2001) . The Surrogate Henderson Filters in X11, Australian and New Zealand Journal of Statistics, 43, 901-908.
10. Findley, D . , Monsell, B . , Bell, W. , Otto, M. , Chen, B . (1998) . New Capabilities and Methods of the X12ARIMA Seasonal Adjustment Program. Journal of Business & Economic Statistics, 16, 127-152.
11. Gray, A. , Thomson, P. (1996) . Design of Moving-Average Trend Filters Using Fidelity and Smoothness Criteria. Time Series Analysis, Vol. 2 (in memory of E. J. Hannan) . Springer Lectures Notes in Statistics, Vol. 15, 205-219.
12 . Guggemos, F. , Ladiray, D . , Grun-Rehomme, M. (2012) . New Results on Linear Filters Minimizing Phase-Shift for Seasonal Adjustment. Joint Statistical Meetings, San Diego, USA, July 28 - August 3, 2012.
13 . Grun-Rehomme, M . , Ladiray, D . (1994) . Moyennes mobiles centrées et non centrées: construction et comparaison . Revue de Statistiques Appliquées, 42(3), 33-61.
14 . Han, J. , Kamber, M . (2006) . Data Mining: Concepts and Techniques . Second Ed . San Diego: Academic Press, 743. (Morgan-Kaufman Series of Data Management Systems) .
15. Hendreson, R. (1916) . Note on Graduation by Adjusted Average. Transaction of Actuarial Society of America, 17, 43-48.
16 . Ladiray, D . , Quenneville, B . (2001) . Seasonal Adjustment with X11-Method . New York: Springer, 227. (Lecture notes in statistics, 158)
17. Laniel, N. (1985). Design Criteria for 13 Term Henderson End-Weights. Technical Report Working paper TSRA-86-011, Statistics Canada, Ottawa K1A 0T6 .
18 . Musgrave, J . (1964a) . A Set of End Weights to End all End Weights . US Bureau of Census . Retrieved from http://www. census . gov/ts/papers/Musgrave1964a.pdf
19. Musgrave, J. (1964b) . Alternative Sets of Weights for Proposed X-11 Seasonal Factor Curve Moving Averages Working Paper Washington DC : US Bureau of Census
20. Proietti, F. , Luati, A. (2008) . Real Time Estimation in Local Polynomial Regression, with Application to Trend-Cycle Analysis . The Annals of Applied Statistics, 2(4), 1523-1553.
21. Quenneville, B . , Ladiray, D . , Lefrançois, B . (2003) . A Note on Musgrave Asymmetrical Trend-Cycles Filters. International Journal of Forecasting, 19, 727-734.
22 . Rockafellar, R. T. (1970) . Convex Analysis . Princeton: University Press, 472. 23. Weyman, D. J. , Wright, I. W. (1983). Splines in Statistics. Journal of the American Statistical Association, 78 (382), 351-365.
2. Cleveland, W. S. (1979) . Robust Locally Weighted Regression and Smoothing Scatterplot. Journal of American Statistical Association, 74(368), 829-836
3 . Dagum, E . B. (1982) . The Effects of Asymmetric Filters of Seasonal Factor Revisions .Journal of the American Statistical Association, 77, 732-738
4. Dagum, E. B. (1988). The X11ARIMA/88 Seasonal Adjustment Method, Foundation and User’s Manual. Technical Report 12-564E . Time Series Research and Analysis Division, Statistics Canada.
5 Dagum, E B , Bianconcini, S (2006) Local Polynomial Trend-cycle Predictors in Reproducing Kernel Hilbert Spaces for Current Economic Analysis . Anales de Economia Aplicada, 1-22. Retrived from
http://www2 stat unibo it/beedagum/Papers/DagumBianconciniJBES pdf
6 . Dagum, E . B. , Bianconcini, S . (2008). The Henderson Smoother in Reproducing Kernel Hilbert Space. Journal of Business & Economic Statistics, 26(4), 536-545.
7 . Dagum, E. B . , Bianconcini, S. (2012) . Reducing Revisions in Real Time Trend-Cycle Estimation .Joint Statistical Meeting Proceedings, Section on Government Statistics. Alexandria, VA: American Statistical Association. 1830-1841.
8 . Doherty, M. (1992) . Surrogate Henderson filters in X-11. Technical Report, New Zealand Department of Statistics, Working Paper
9 . Doherty, M . (2001) . The Surrogate Henderson Filters in X11, Australian and New Zealand Journal of Statistics, 43, 901-908.
10. Findley, D . , Monsell, B . , Bell, W. , Otto, M. , Chen, B . (1998) . New Capabilities and Methods of the X12ARIMA Seasonal Adjustment Program. Journal of Business & Economic Statistics, 16, 127-152.
11. Gray, A. , Thomson, P. (1996) . Design of Moving-Average Trend Filters Using Fidelity and Smoothness Criteria. Time Series Analysis, Vol. 2 (in memory of E. J. Hannan) . Springer Lectures Notes in Statistics, Vol. 15, 205-219.
12 . Guggemos, F. , Ladiray, D . , Grun-Rehomme, M. (2012) . New Results on Linear Filters Minimizing Phase-Shift for Seasonal Adjustment. Joint Statistical Meetings, San Diego, USA, July 28 - August 3, 2012.
13 . Grun-Rehomme, M . , Ladiray, D . (1994) . Moyennes mobiles centrées et non centrées: construction et comparaison . Revue de Statistiques Appliquées, 42(3), 33-61.
14 . Han, J. , Kamber, M . (2006) . Data Mining: Concepts and Techniques . Second Ed . San Diego: Academic Press, 743. (Morgan-Kaufman Series of Data Management Systems) .
15. Hendreson, R. (1916) . Note on Graduation by Adjusted Average. Transaction of Actuarial Society of America, 17, 43-48.
16 . Ladiray, D . , Quenneville, B . (2001) . Seasonal Adjustment with X11-Method . New York: Springer, 227. (Lecture notes in statistics, 158)
17. Laniel, N. (1985). Design Criteria for 13 Term Henderson End-Weights. Technical Report Working paper TSRA-86-011, Statistics Canada, Ottawa K1A 0T6 .
18 . Musgrave, J . (1964a) . A Set of End Weights to End all End Weights . US Bureau of Census . Retrieved from http://www. census . gov/ts/papers/Musgrave1964a.pdf
19. Musgrave, J. (1964b) . Alternative Sets of Weights for Proposed X-11 Seasonal Factor Curve Moving Averages Working Paper Washington DC : US Bureau of Census
20. Proietti, F. , Luati, A. (2008) . Real Time Estimation in Local Polynomial Regression, with Application to Trend-Cycle Analysis . The Annals of Applied Statistics, 2(4), 1523-1553.
21. Quenneville, B . , Ladiray, D . , Lefrançois, B . (2003) . A Note on Musgrave Asymmetrical Trend-Cycles Filters. International Journal of Forecasting, 19, 727-734.
22 . Rockafellar, R. T. (1970) . Convex Analysis . Princeton: University Press, 472. 23. Weyman, D. J. , Wright, I. W. (1983). Splines in Statistics. Journal of the American Statistical Association, 78 (382), 351-365.
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Опубліковано
2015-06-20
Як цитувати
Vasyechko, O., & Grun-Rehomme, M. (2015). Проблема корректировки последних уровней временного ряда. Статистика України, (2(69), 4–10. вилучено із https://su-journal.com.ua/index.php/journal/article/view/12
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