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Fractional and seasonal filtering

Abstract : We introduce in this study a new strategy to model simultaneously persistence and seasonality inside economic data using different stochastic filters based on the Gegenbauer modelling. The limits and advantages of these filters are discussed in order to improve the adjustment of economic series, particularly when specific trend is observed. The series of new cars registrations in the Euro-zone is modelled using the previous filters
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https://halshs.archives-ouvertes.fr/halshs-00646178
Contributor : Dominique Guégan <>
Submitted on : Tuesday, November 29, 2011 - 1:27:47 PM
Last modification on : Tuesday, January 19, 2021 - 11:08:50 AM
Long-term archiving on: : Sunday, December 4, 2016 - 6:09:44 PM

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  • HAL Id : halshs-00646178, version 1

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Dominique Guegan, Laurent Ferrara. Fractional and seasonal filtering. J.L. Mazi. Proceeding Book on the Conference Seasonality, Seasonal adjustment and its implication for short term analysis and forecasting, Eurostat, pp.121-132, 2008. ⟨halshs-00646178⟩

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