Alternative approaches to trend estimation.

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

Preview

PDF (Version of Record) 10700963.pdf - Accepted Version 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.

Item Type:	Thesis (Doctoral)
Additional Information:	Thesis (Ph.D.)--Sheffield Hallam University (United Kingdom), 1996.
Research Institute, Centre or Group - Does NOT include content added after October 2018:	Sheffield Hallam Doctoral Theses
Depositing User:	EPrints Services
Date Deposited:	10 Apr 2018 17:22
Last Modified:	26 Apr 2021 12:22
URI:	https://shura.shu.ac.uk/id/eprint/20317

Actions (login required)

View Item

Downloads

Publication Metrics