An iterative plug-in algorithm for decomposing seasonal time series using the Berlin Method

References

• Beran , J. and Feng , Y. 2002 . Local polynomial fitting with long-memory, short-memory and antipersistent errors . Ann. Inst. Statist. Math. , 54 : 291 – 311 . (doi:10.1023/A:1022469818068)
   Web of Science ®Google Scholar
• Beran , J. and Feng , Y. 2002 . Iterative plug-in algorithms for SEMIFAR models – definition, convergence and asymptotic properties . J. Comput. Graph. Statist. , 11 : 690 – 713 . (doi:10.1198/106186002420)
   Web of Science ®Google Scholar
• Beran , J. , Feng , Y. and Heiler , S. 2009 . Modifying the double smoothing bandwidth selector in nonparametric regression . Stat. Methodol. , 6 : 447 – 465 . (doi:10.1016/j.stamet.2009.04.001)
   Google Scholar
• Cieplik , U. 2006 . “ BV4.1 – methodology and user-friendly software for decomposing economic time series ” . Working Papers and Studies, European Communities
   Google Scholar
• Fan , J. and Gijbels , I. 1996 . Local Polynomial Modeling and its Applications , London : Chapman & Hall .
   Google Scholar
• Feng , Y. 1999 . Kernel- and Locally Weighted Regression – with Application to Time Series Decomposition , Berlin : Verlag für Wissenschaft und Forschung .
   Google Scholar
• Feng , Y. and Heiler , S. 2009 . A simple bootstrap bandwidth selector for local polynomial fitting . J. Stat. Comput. Simul. , 79 : 1425 – 1439 . (doi:10.1080/00949650802352019)
   Web of Science ®Google Scholar
• Gasser , T. , Kneip , A. and Köhler , W. 1991 . A flexible and fast method for automatic smoothing . J. Amer. Statist. Assoc. , 86 : 643 – 652 . (doi:10.1080/01621459.1991.10475090)
   Web of Science ®Google Scholar
• Gasser , T. , Sroka , L. and Jennen-Steinmetz , C. 1986 . Residual variance and residual pattern in nonlinear regression . Biometrika , 73 : 625 – 633 . (doi:10.1093/biomet/73.3.625)
   Web of Science ®Google Scholar
• Hall , P. , Kay , J. W. and Titterington , D. M. 1990 . Asymptotically optimal difference-based estimation of variance in nonparametric regression . Biometrika , 77 : 521 – 528 . (doi:10.1093/biomet/77.3.521)
   Web of Science ®Google Scholar
• Heiler , S. 1970 . “ Theoretische Grundlagen des ‘Berliner Verfahrens’ ” . In Neuere Entwicklungen auf dem Gebiet der Zeitreihenanalyse , Edited by: Wetzel , W. Vol. 1 , 67 – 93 . Göttingen : Vandenhoeck & Ruprech . Allg. Statistischen Archiv, Sonderheft
   Google Scholar
• Heiler , S. and Feng , Y. 2000 . Data-driven decomposition of seasonal time series . J. Statist. Plann. Inference , 91 : 351 – 363 . (doi:10.1016/S0378-3758(00)00187-7)
   Web of Science ®Google Scholar
• Herrmann , E. and Gasser , T. 1994 . “ Iterative plug-in algorithm for bandwidth selection in kernel regression estimation ” . Darmstadt Institute of Technology and University of Zürich . preprint
   Google Scholar
• Herrmann , E. , Gasser , T. and Kneip , A. 1992 . Choice of bandwidth for kernel regression when residuals are correlated . Biometrika , 79 : 783 – 795 . (doi:10.1093/biomet/79.4.783)
   Web of Science ®Google Scholar
• Makridakis , S. , Wheelwright , S. C. and Hyndman , R. J. 1998 . Forecasting: Methods and Applications , 3 , New York : John Wiley .
   Google Scholar
• Rice , J. 1984 . Bandwidth choice for nonparametric regression . Ann. Statist. , 12 : 1215 – 1230 . (doi:10.1214/aos/1176346788)
   Web of Science ®Google Scholar
• Ruppert , D. , Sheather , S. J. and Wand , M. P. 1995 . An effective bandwidth selector for local least squares regression . J. Amer. Statist. Assoc. , 90 : 1257 – 1270 . (doi:10.1080/01621459.1995.10476630)
   Web of Science ®Google Scholar
• Ruppert , D. and Wand , M. P. 1994 . Multivariate locally weighted least squares regression . Ann. Statist. , 22 : 1346 – 1370 . (doi:10.1214/aos/1176325632)
   Web of Science ®Google Scholar
• Schlittgen , R. and Streitberg , B. 1991 . Zeitreihenanalyse , München : R. Oldenbourg .
   Google Scholar
• Speth , H.-T. 2004 . Komponentenzerlegung und Saisonbereinigung ökonomischer Zeitreihen mit dem Verfahren BV4.1 , Wiesbaden : German Federal Statistical Office . Methodenberichte 3
   Google Scholar
• Speth , H.-Th. 2006 . The BV4.1 Procedure for Decomposing and Seasonally Adjusting Economic Time Series (English translation of Speth, 2004) , Wiesbaden : German Federal Statistical Office .
   Google Scholar