Alternative approaches to trend estimation.

SALTER, Stephen J. (1996). Alternative approaches to trend estimation. Doctoral, Sheffield Hallam University (United Kingdom).. [Thesis]

Documents
20317:480709
[thumbnail of Version of Record]
Preview
PDF (Version of Record)
10700963.pdf - Accepted Version
Available under License All rights reserved.

Download (8MB) | Preview
Abstract
This thesis suggests a general approach for estimating the trend of a univariate time series. It begins by suggesting and defining a set of "desirable" trend properties, namely "Fidelity", "Smoothness", "Invariance" and "Additivity", which are then incorporated into the design of an appropriate non-stationary time series model.The unknown parameters of the model are then estimated using a wide selection of "optimal" procedures, each parameter having at least two such procedures applied to it. Attention is paid to the development of algorithms to implement the procedures in practice.The model is gradually extended from a basic, non-seasonal model consisting of a simple lagged trend to a general, seasonal model incorporating a variable parameter, general autoregressive trend.
More Information
Statistics

Downloads

Downloads per month over past year

Share
Add to AnyAdd to TwitterAdd to FacebookAdd to LinkedinAdd to PinterestAdd to Email

Actions (login required)

View Item View Item