Article ID: | iaor20053378 |
Country: | Netherlands |
Volume: | 20 |
Issue: | 4 |
Start Page Number: | 557 |
End Page Number: | 560 |
Publication Date: | Oct 2004 |
Journal: | International Journal of Forecasting |
Authors: | Quenneville Benoit, Ladiray Dominique |
Keywords: | seasonality, ARIMA processes |
This commentary on Miller and Williams discusses how shrinkage can be implemented within X-12-ARIMA. We discuss how the seasonal factors are estimated in X12-ARIMA, how shrinkage can be translated into a moving average, if this is compatible with the philosophy behind the X12-ARIMA method, and suggest possible improvements.