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基于ARIMA模型的季节调整方法及研究进展 被引量：14

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摘要 目的介绍基于ARIMA模型的2种季节调整方法:X-12-ARIMA和TRAMO/SEATS。方法通过查阅有关文献,对基于ARIMA模型的季节调整方法的发展历史、基本原理与方法、最新研究进展等方面进行综述,对ARIMA模型的影响因素进行分析,并运用其原理与方法对我国的春节因素进行调整,构建适用的调整模型。结果基于ARIMA模型的季节调整方法在时间序列分析中具有重要的地位,X-12-ARIMA和TRAMO/SEATS两种方法具有各自的特点与优势,并且这2种方法有相互融合的趋势。结论基于ARIMA模型的季节调整方法经过不断完善而趋于成熟,X-12-ARIMA和TRAMO/SEATS将进一步发展和完善,获得广泛应用。
作者 郭志武 滕国召 蒲继红
机构地区 深圳市中医院 深圳市第二人民医院
出处 《中国医院统计》 2009年第1期65-69,共5页 Chinese Journal of Hospital Statistics
基金 2008年深圳市科技计划项目(编号:200802126)
关键词 ARIMA模型 季节调整 X-12-ARIMA TRAMO/SEATS 春节因素
分类号 R195.1 [医药卫生—卫生统计学]
  • 相关文献

参考文献25

  • 1U.S. Census Bureau. X-12-ARIMA Reference Manual Version 0.3 (Beta) [C/OL]. ( 2008-07-02 ) [ 2008-08-05 ]. http ://www. census. gov/srd/www/sapaper/sapaper. html.
  • 2Gomez, V. , A. Maravall. Program TRAMO and SEATS: Instructions for the User, Beta Version [ C/OL]. ( 2008-07-02 ) [ 2008-08- 05]. http://www. bde. es/servicio/software/papers. htm.
  • 3Gomez,V. , A. MaravaU. Seasonal Adjustment and Signal Extraction in Economic Time Series[C/OL]. (2008-07-02)[2008-08-05]. http ://www. bde. es/servicio/software/papers. htm.
  • 4范维,张磊,石刚.季节调整方法综述及比较[J].统计研究,2006,23(2):70-73. 被引量：52
  • 5Jens Dosse, Christophe Planas. Pre-adjustment in Seasonal Adjustment Methods: A Comparison of REGARIMA & TRAMO [C/OL]. ( 1996-06 ) [ 2008-08-05 ]. http://europa. eu. int/en/comm/ eurostat/research/noris4.
  • 6Catherine C. Hood, James D. Ashley, David F. Findley. An Empirical Evaluation of the Performance of TRAMO-SEATS on Simulated Series [C/OL]. ( 2008-07-02 ) [2008-08-05]. http://www. census. gov/srd/www/sapaper/sapaper. html.
  • 7David F. Findley. Some Recent Developments and Directions in Seasonal Adjustment [ J ]. Journal of Official Statistics, 2005 ,21 ( 2 ) : 343 -365.
  • 8Brian C. Monsell Release Notes for Version 0.3 of X-12-ARIMA[ C/ OL]. (2008-07-02) [2008-08-05]. http ://www. census. gov/srd/ www/sapaper/sapaper. html.
  • 9Brian C. Monsell, John A. D. Aston, Siem Jan Koopman. Toward X- 13 [ C/OL ]. ( 2008-07-02 ) [ 2008-08-05 ]. http://www. census. gov/srd/www/sapaper/sapaper. html.
  • 10Brian C. Monsoll. Advances in Seasonal Adjustment Software at the U. S. Census Burean[C/OL]. Conference on Seasonality, Seasonal Adjustment and their implications for Short-Term Analysis and Forecasting, (2006-05-10) [2008-08-05]. http ://epp. eurostat, ec. europa. eu/portai/page ? _pageid = 1194,48597534,1194 58876948 & _dad=portal& schema = PORTAL.

二级参考文献16

  • 1U.S.Census Bureau:"X-12 ARIMA Reference Manual Version 0.2.10" P1-P48,July 26,2002.
  • 2Decomposition of Time Series-Comparing Different Methods in Theory and Practice:Bjorn Fischer-March/April 1995.
  • 3Pre-adjustment in Seasonal Adjustment Methods:A Comparison of REGARIMA and TRAMO:Jens Dossé and Christophe Planas-June 1996.
  • 4.[EB/OL].,.
  • 5.
  • 6.
  • 7U. S. Census Burean. X-12ARIMA reference manual version 0.2. 10,1-48[R]. 2002, http://www. cencus. gov./fpt/pub.
  • 8David F. Findley, Brian C. Monsell, William R. Bell, Mark C. Otto, Bor-Chung Chen.. New capabilities and methods of the X-12 ARIMA seasonal adjustment program [J]. Journal of Business and Economic Statistics, 2002, 6-13,30-50.
  • 9Catherine C. Hood.. Comparison of time series characteristics for seasonal adjustments from SEATS and X-12-ARIMA[J]. ASA proceedings, October, 2002.
  • 10David F. Findley, Catherine C. Hood.. X-12-ARIMA and its application to some italian indicator series[J]. Journal of the American Statistical Association,June, 1999.

共引文献111

同被引文献117

引证文献14

二级引证文献78

中国医院统计
2009年 第1期

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