A KALMAN FILTER APPROACH TO THE FORECASTING OF MONTHLY TIME SERIES AFFECTED BY Morris Festivals

N. D. Morris*, D. Pfeffermann

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

Abstract. Many economic time series are affected by the moving dates of festivals. In this paper a moving festival effect is defined and incorporated into a dynamic linear model which specifies how the parameters of several unobservable components of a time series evolve stochastically in time. The merits of this approach in comparison to other approaches are discussed and demonstrated using empirical data of three selected time series.

Original languageEnglish
Pages (from-to)255-268
Number of pages14
JournalJournal of Time Series Analysis
Volume5
Issue number4
DOIs
StatePublished - Jul 1984

Keywords

  • decomposition models
  • Dynamic linear models
  • Kalman filter
  • moving festival effects

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