Focusing on the widely-used Box-Jenkins “airline” model, we show how the class of seasonal ARIMA models with a seasonal moving average factor can be parsimoniously generalized to model time series… (More)

This series contains research reports, written by or in cooperation with staff members of the Statistical Research Division, whose content may be of interest to the general statistical research… (More)

We consider two modi cations of SEATS diagnostics for determining whether, for an estimated seasonal decomposition component, there is underestimation or overestimation, meaning inadequate or… (More)

This series contains research reports, written by or in cooperation with staff members of the Statistical Research Division, whose content may be of interest to the general statistical research… (More)

We consider the modeling of time series that have an asymptotically stationary autocovariance structure and a mean function of linear regression form in which the regression vector satis es a… (More)

Convergence properties are established for the output of a deterministic Robbins-Monro recursion for functions that can have singularities and multiple zeros. Our analysis is built largely on… (More)

Under minimal assumptions, it is established that the sample second moments of the errors of out-of-sample (real time) forecasts of possibly incorrect regARIMA models have asymptotic limits with… (More)

A new method to reduce unwanted ripples and revisions in trend-cycle estimates from X11ARIMA. Predictive performance of some nonparametric linear and nonlinear smoothers for noisy data. New… (More)

1 t t BZ Z − = . Throughout the paper, for any i, ( ) i t ε denotes a sequence of independent variates with mean zero and variance 2 i σ . The parameters satisfy 1 , 1 θ − ≤ Θ ≤ , and for economic… (More)