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Dynamic harmonic regression.

Young, Peter C. and Pedregal, D. and Tych, Wlodek (1999) Dynamic harmonic regression. Journal of Forecasting, 18 (6). pp. 369-394. ISSN 0277-6693

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Abstract

This paper describes in detail a flexible approach to nonstationary time series analysis based on a Dynamic Harmonic Regression (DHR) model of the Unobserved Components (UC) type, formulated within a stochastic state space setting. The model is particularly useful for adaptive seasonal adjustment, signal extraction and interpolation over gaps, as well as forecasting or backcasting. The Kalman Filter and Fixed Interval Smoothing algorithms are exploited for estimating the various components, with the Noise Variance Ratio and other hyperparameters in the stochastic state space model estimated by a novel optimization method in the frequency domain. Unlike other approaches of this general type, which normally exploit Maximum Likelihood methods, this optimization procedure is based on a cost function defined in terms of the difference between the logarithmic pseudo-spectrum of the DHR model and the logarithmic autoregressive spectrum of the time series. The cost function not only seems to yield improved convergence characteristics when compared with the alternative ML cost function, but it also has much reduced numerical requirements.

Item Type: Article
Journal or Publication Title: Journal of Forecasting
Uncontrolled Keywords: time series ; state-space models ; optimal state estimation ; optimal filtering ; optimal smoothing ; seasonal adjustment ; dynamic harmonic regression
Subjects: G Geography. Anthropology. Recreation > GE Environmental Sciences
Departments: Faculty of Science and Technology > Lancaster Environment Centre
ID Code: 21785
Deposited By: ep_ss_importer
Deposited On: 05 Feb 2009 14:53
Refereed?: Yes
Published?: Published
Last Modified: 26 Jul 2012 15:51
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/21785

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