---

Working Paper

Testing Collinearity of Vector Time Series

May 10, 2019

Investigating collinearity of vector time series in the frequency domain, by examining the rank of the spectral density matrix at a given frequency of interest.

---

---

Working Paper

Time Series Seasonal Adjustment Using Regularized SVD

February 11, 2019

We propose a new seasonal adjustment method based on the Regularized Singular Value Decomposition of the matrix obtained by reshaping seasonal time series data.

---

---

Working Paper

Constrained Estimation of Causal Invertible VARMA

2019

Presents a reparameterization of vector autoregressive moving aver- age models for parameter estimation under the constraints of causality and invertibility.

---

---

Working Paper

Maximum Entropy Extreme-Value Seasonal Adjustment

2019

Some economic series in small economies exhibit meagre (i.e. non-positive) values, as well as seasonal extremes.

---

---

Working Paper

Seasonal Adjustment Subject to Accounting Constraints

2018

Proposes utilizing adequacy of (disaggregate) component seasonal adjustments, modified by reconciliation, as an additional constraint to the accounting problem.

---

---

Working Paper

The Inverse Kullback-Leibler Method for Fitting Vector Moving Averages

2018

A new method for the estimation of a vector moving average (VMA) process is presented.

---

---

Working Paper

Multivariate SA, Economic Identities, and Seasonal Taxonomy

April 28, 2017

This article explores the statistical modeling of seasonality jointly across multiple time series, using latent dynamic factor models fitted by MLE.

---

---

Working Paper

Computation of Vector ARMA Autocovariances

January 06, 2017

Describes an algorithm for computing the autocovariance sequence of a VARMA process without requiring the intermediary determination of the Wold representation.

---

---

Working Paper

Recurvsive Computation for Block-Nested Covariance Matrices

2017

Covariance matrices corresponding to samples of multivariate time series or spatial random fields have a block-Toeplitz structure that has a nested pattern.

---

---

Working Paper

Nonnested model comparisons for time series

December 09, 2016

This paper addresses the topic of nonnested time series model comparisons.

---

---

Working Paper

Optimal Real-Time Filters for Linear Prediction Problems

April 09, 2016

The classic model-based paradigm in time series analysis is rooted in the Wold decomposition of the data-generating process into an uncorrelated WN process.

---

---

Working Paper

Getting Started with X-13ARIMA-SEATS Input Files (Accessible Version)

March 01, 2016

This document is based on one originally developed in 2002 by Catherine Hood and Brian Monsell to assist users of X-12-ARIMA.

---

---

Working Paper

Computation of the Autocovariances for Time Series

February 18, 2016

Gegenbauer processes allow for flexible and convenient modeling of time series data with multiple spectral peaks.

---

---

Working Paper

On the measurement and treatment of extremes in time series

2016

The paper reviews the topic of extremal time series.

---

---

Working Paper

Signal Extraction for Nonstationary Time Series

2016

This paper presents a flexible framework for signal extraction of time series measured as stock or flow at diverse sampling frequencies.

---

---

Working Paper

Model Estimation, Prediction, and Signal Extraction

November 24, 2015

A practical problem for statistical agencies and banks that publish economic data is the seasonal adjustment of mixed frequency stock and flow time series.

---

---

Working Paper

When are Direct Multi-step and Iterative Forecasts Identical?

April 19, 2015

Although both direct multi-step-ahead forecasting and iterated one-step-ahead forecasting are two popular methods for predicting future values of a time series.

---

---

Working Paper

Comparing X-13ARIMA-SEATS Diagnostics for Quarterly Series

2015

X-13ARIMA-SEATS has several diagnostics for determining whether a time series is seasonal and for detecting residual seasonality in an adjusted series.

---

---

Working Paper

Investigating the Behavior of X-13ARIMA-SEATS Seasonal Adj. Revisions

2015

We assess the fluctuation of the seasonally adjusted estimates and how quickly they stabilize to a final value.

---

---

Working Paper

Optimal Real-Time Filters for Linear Prediction Problems

2015

The model-based paradigm in time series analysis is rooted in the Wold decomposition of the data-generating process into an uncorrelated white noise process.

---

---

Working Paper

Signal Extraction for Non-stationary Multivariate Time Series ...

2015

---

---

Working Paper

The Effect of Forecast Quality on Seasonal Adjustment Revisions

2015

When data are available, the X-11 method uses symmetric moving average filters, utilizing the same amount of data before and after the point of interest.

---

---

Working Paper

Spectral Density and Spectral Distribution Inference

April 24, 2014

This paper studies taper-based estimates of the spectral density utilizing a fixed bandwidth ratio asymptotic framework.

---

---

Working Paper

Asymptotic Theory Of Cepstral Random Fields

2014

This paper studies the cepstral random field model, providing formulas that connect spatial cepstral coefficients to an equivalent moving-average random field.

---

---

Working Paper

Optimal Signal Extraction with Correlated Components

2014

This paper provides the mean square error optimal formulas for both finite samples and bi-infinite samples.

---

---

Working Paper

The Effect of Forecasting on X-11 Adjustment Filters

2014

This research looks into the effect of forecast extension on the overall seasonal adjustment filter.

---

---

Working Paper

The multiple testing problem for Box-Pierce statistics

2014

We derive the joint asymptotic distribution for Box-Pierce statistics, and use these results to determine appropriate critical values in joint testing problems.

---

---

Working Paper

Distribution Theory for the Studentized Mean

July 13, 2013

We consider the problem of estimating the variance of the partial sums of a stationary time series.

---

---

Working Paper

A State Space Modeling Graphical User-Interfaced Environment

2013

The SSM (State Space Modeling) module for the iMetrica software is a graphical user-interfaced time series modeling and simulation environment.

---

---

Working Paper

Graphical UI Time Series Modeling and Simulation Environment

2013

The uSimX13 module for the iMetrica software is a graphical user-interfaced time series modeling and simulation environment.

---

---

Working Paper

Modeling Recession Effects and the Consequences on Seasonal Adjustment

2013

The 2008 U.S. recession generated many questions as to whether the large declines observed in many time series affected their seasonal adjustments.

---

---

Working Paper

Multi-Step-Ahead Estimation of Time Series Models

2013

We study the fitting of time series models via the minimization of a multi-step-ahead forecast error criterion.

---

---

Working Paper

X-13ARIMA-SEATS and iMetrica

2013

This paper will give the latest developments in two ongoing software projects.

---

---

Working Paper

Forecasting Continuous-Time Processes to Signal Extraction

June 20, 2012

The paper derives forecasting and signal extraction estimates for continuous time processes.

---

---

Working Paper

The Perils of Inferring Serial Dependence from Sample Autocorrelations

May 16, 2012

We demonstrate that oscillatory patterns in the higher lags of sample autocorrelations can arise whenever the true process is a finite order MA.

---

---

Working Paper

A Conversation with David Findley

2012

David Findley has published more than 40 journal articles and book chapters, as well as dozens of technical reports and conference proceedings.

---