Linear combination of information in time series analysis

Víctor M. Guerrero
Authors registered in the RePEc Author Service: Daniel Peña

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: An important tool in time series analysis is that of combining information in an optimal manner. Here we establish a basic combining rule of linear estimators and exemplify its use with several different problems faced by a time series analyst. A compatibility test statistic is also provided as a companion of the combining rule. This statistic plays a fundamental role for obtaining sensible results from the combination and for pointing out sorne possibly new directions of analysis.

Keywords: Intervention; analysis; Missing; data; Compatibility; testing; Disaggregation; Outliers; Restricted; forecasts (search for similar items in EconPapers)
Date: 1995-11
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Related works:
Working Paper: Linear Combination of Information in Time Series Analysis (1995)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:10340

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