Cambridge District, Reino Unido
Bolonia, Italia
We describe observation driven time series models for Student-t and EGB2 conditional distributions in which the signal is a linear function of past values of the score of the conditional distribution. These specifications produce models that are easy to implement and deal with outliers by what amounts to a soft form of trimming in the case of t and a soft form of Winsorizing in the case of EGB2. We show how a model with trend and seasonal components can be used as the basis for a seasonal adjustment procedure. The methods are illustrated with US and Spanish data.
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