首页 | 本学科首页   官方微博 | 高级检索  
     检索      


A dynamic linear model approach for disaggregating time series data
Authors:M Al-Osh
Abstract:An approach is proposed for obtaining estimates of the basic (disaggregated) series, xi, when only an aggregate series, yt, of k period non-overlapping sums of xi's is available. The approach is based on casting the problem in a dynamic linear model form. Then estimates of xi can be obtained by application of the Kalman filtering techniques. An ad hoc procedure is introduced for deriving a model form for the unobserved basic series from the observed model of the aggregates. An application of this approach to a set of real data is given.
Keywords:Aggregation  Disaggregation  ARIMA process  Dynamic linear model  State space  Maximum likelihood estimation
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号