Show simple item record

An introduction to applications of wavelet benchmarking with seasonal adjustment

dc.creatorSayal, Homesh
dc.creatorAston, John A. D.
dc.creatorElliott, Duncan
dc.date.accessioned2016-07-01
dc.date.accessioned2018-11-24T23:26:52Z
dc.date.available2016-09-16T08:47:42Z
dc.date.available2018-11-24T23:26:52Z
dc.date.issued2016-11-05
dc.identifierhttps://www.repository.cam.ac.uk/handle/1810/260183
dc.identifier.urihttp://repository.aust.edu.ng/xmlui/handle/123456789/3905
dc.description.abstractBefore adjustment, low and high frequency data sets from national accounts are frequently inconsistent. Benchmarking is the procedure used by economic agencies to make such data sets consistent. It typically involves adjusting the high frequency time series (e.g. quarterly data) so that they become consistent with the lower frequency version (e.g. annual data). Various methods have been developed to approach this problem of inconsistency between data sets. The paper introduces a new statistical procedure, namely wavelet benchmarking. Wavelet properties allow high and low frequency processes to be jointly analysed and we show that benchmarking can be formulated and approached succinctly in the wavelet domain. Furthermore the time and frequency localization properties of wavelets are ideal for handling more complicated benchmarking problems. The versatility of the procedure is demonstrated by using simulation studies where we provide evidence showing that it substantially outperforms currently used methods. Finally, we apply this novel method of wavelet benchmarking to official data from the UK's Office for National Statistics.
dc.languageen
dc.publisherWiley
dc.publisherJournal of the Royal Statistical Society: Series A (Statistics in Society)
dc.rightshttp://creativecommons.org/licenses/by/4.0/
dc.rightsAttribution 4.0 International
dc.subjectbenchmarking
dc.subjectseasonal adjustment
dc.subjectstructural time series
dc.subjectthresholding
dc.subjectwavelets
dc.titleAn introduction to applications of wavelet benchmarking with seasonal adjustment
dc.typeArticle


Files in this item

FilesSizeFormatView
Sayal_et_al-201 ... l_Society_Series_A-VoR.pdf858.8Kbapplication/pdfView/Open

This item appears in the following Collection(s)

Show simple item record