reusable components based on the kalman...
TRANSCRIPT
![Page 1: Reusable components based on the Kalman filter.ec.europa.eu/eurostat/documents/4587857/4587935/09... · · 2014-10-21... Durbin/Koopman zTreatment of: • Fixed unknown / diffuse](https://reader034.vdocuments.us/reader034/viewer/2022051509/5ae4ac947f8b9a87048b91fc/html5/thumbnails/1.jpg)
Benchmarking
Reusable components based on the Kalman filter.
Department of Statistics. R&D Unit.
![Page 2: Reusable components based on the Kalman filter.ec.europa.eu/eurostat/documents/4587857/4587935/09... · · 2014-10-21... Durbin/Koopman zTreatment of: • Fixed unknown / diffuse](https://reader034.vdocuments.us/reader034/viewer/2022051509/5ae4ac947f8b9a87048b91fc/html5/thumbnails/2.jpg)
Objectives
FeaturesNew implementation of the traditional methodsAnalysis tools (residuals, likelihood, revisions, ...)
Technology / DesignReusability (batch processing → graphicalanalysis)Extensibility (new benchmarking methods)Openess (rich interfaces, various facets)
![Page 3: Reusable components based on the Kalman filter.ec.europa.eu/eurostat/documents/4587857/4587935/09... · · 2014-10-21... Durbin/Koopman zTreatment of: • Fixed unknown / diffuse](https://reader034.vdocuments.us/reader034/viewer/2022051509/5ae4ac947f8b9a87048b91fc/html5/thumbnails/3.jpg)
Technological response (I)
In-housedevelopments
(C#, VB.NET, Java, ...)
Nbb Libraries.NETJava
Commercial software
(Excel, ...)
Other components
Standard technologiesJava → Portability.NET (COM) → Windows realm
![Page 4: Reusable components based on the Kalman filter.ec.europa.eu/eurostat/documents/4587857/4587935/09... · · 2014-10-21... Durbin/Koopman zTreatment of: • Fixed unknown / diffuse](https://reader034.vdocuments.us/reader034/viewer/2022051509/5ae4ac947f8b9a87048b91fc/html5/thumbnails/4.jpg)
Technological response (II): OO-Design
"Conceptual" programming→ direct link with theory
Complexity management→ detailed information
Extensibility, reusability→ integration of new features→ modification of existing solutions
![Page 5: Reusable components based on the Kalman filter.ec.europa.eu/eurostat/documents/4587857/4587935/09... · · 2014-10-21... Durbin/Koopman zTreatment of: • Fixed unknown / diffuse](https://reader034.vdocuments.us/reader034/viewer/2022051509/5ae4ac947f8b9a87048b91fc/html5/thumbnails/5.jpg)
Statistical framework
Disaggregated series modelled by a single [regression] equation:
with:
Special case: ARIMA models (⊃ traditional methods)
Estimation:(Diffuse) Kalman filter and smoother: Durbin/Koopman
Treatment of:• Fixed unknown / diffuse regression effects• Log transformation: approximated, iterative (see Proietti)
ttt Xy µβ ][ +=SSFt ~µ
![Page 6: Reusable components based on the Kalman filter.ec.europa.eu/eurostat/documents/4587857/4587935/09... · · 2014-10-21... Durbin/Koopman zTreatment of: • Fixed unknown / diffuse](https://reader034.vdocuments.us/reader034/viewer/2022051509/5ae4ac947f8b9a87048b91fc/html5/thumbnails/6.jpg)
Demo
Goals
Windows application (NbbBenchmarking.exe)
Variety of specifications• ARIMA model for the residuals (disaggregated series)• Aggregation mode• Regression effects• Log transformation
VersatilityPerformances
Technologies, languages
OO-Design
Algorithms (KF)
![Page 7: Reusable components based on the Kalman filter.ec.europa.eu/eurostat/documents/4587857/4587935/09... · · 2014-10-21... Durbin/Koopman zTreatment of: • Fixed unknown / diffuse](https://reader034.vdocuments.us/reader034/viewer/2022051509/5ae4ac947f8b9a87048b91fc/html5/thumbnails/7.jpg)
Detailed results• Residuals analysis• Likelihood• Revisions history• Aggregated ARIMA model
Excel add-insVBA module (~NbbBenchmarking)
User-defined functions
Java appletMC experiments (Chow-Lin, diffuse/fixedunkown regression effects)
![Page 8: Reusable components based on the Kalman filter.ec.europa.eu/eurostat/documents/4587857/4587935/09... · · 2014-10-21... Durbin/Koopman zTreatment of: • Fixed unknown / diffuse](https://reader034.vdocuments.us/reader034/viewer/2022051509/5ae4ac947f8b9a87048b91fc/html5/thumbnails/8.jpg)
NbbBenchmarking (I)
Standard stand-alone application.
Variousspecifications.Detailed results
![Page 9: Reusable components based on the Kalman filter.ec.europa.eu/eurostat/documents/4587857/4587935/09... · · 2014-10-21... Durbin/Koopman zTreatment of: • Fixed unknown / diffuse](https://reader034.vdocuments.us/reader034/viewer/2022051509/5ae4ac947f8b9a87048b91fc/html5/thumbnails/9.jpg)
NbbBenchmarking (II)
Rich graphicalinterface
Treatment of long seriesInterpolation of missing valuesForecasts / backcasts
![Page 10: Reusable components based on the Kalman filter.ec.europa.eu/eurostat/documents/4587857/4587935/09... · · 2014-10-21... Durbin/Koopman zTreatment of: • Fixed unknown / diffuse](https://reader034.vdocuments.us/reader034/viewer/2022051509/5ae4ac947f8b9a87048b91fc/html5/thumbnails/10.jpg)
NbbBenchmarking (III)
Detailed analysis of the residualsFast appreciation bymeans of colouredsignals
![Page 11: Reusable components based on the Kalman filter.ec.europa.eu/eurostat/documents/4587857/4587935/09... · · 2014-10-21... Durbin/Koopman zTreatment of: • Fixed unknown / diffuse](https://reader034.vdocuments.us/reader034/viewer/2022051509/5ae4ac947f8b9a87048b91fc/html5/thumbnails/11.jpg)
NbbBenchmarking (IV)
RevisionshistoryAggregatedmodels
and othergoodies...
![Page 12: Reusable components based on the Kalman filter.ec.europa.eu/eurostat/documents/4587857/4587935/09... · · 2014-10-21... Durbin/Koopman zTreatment of: • Fixed unknown / diffuse](https://reader034.vdocuments.us/reader034/viewer/2022051509/5ae4ac947f8b9a87048b91fc/html5/thumbnails/12.jpg)
Excel add-in
Full integration
Self-containedsolution
![Page 13: Reusable components based on the Kalman filter.ec.europa.eu/eurostat/documents/4587857/4587935/09... · · 2014-10-21... Durbin/Koopman zTreatment of: • Fixed unknown / diffuse](https://reader034.vdocuments.us/reader034/viewer/2022051509/5ae4ac947f8b9a87048b91fc/html5/thumbnails/13.jpg)
User-defined functions in Excel
Fast solution forsimple problems
Interactive tool
![Page 14: Reusable components based on the Kalman filter.ec.europa.eu/eurostat/documents/4587857/4587935/09... · · 2014-10-21... Durbin/Koopman zTreatment of: • Fixed unknown / diffuse](https://reader034.vdocuments.us/reader034/viewer/2022051509/5ae4ac947f8b9a87048b91fc/html5/thumbnails/14.jpg)
Java applet
Complete Java solution
see Proietti (2004, 6.1) for furtherexplanations.
![Page 15: Reusable components based on the Kalman filter.ec.europa.eu/eurostat/documents/4587857/4587935/09... · · 2014-10-21... Durbin/Koopman zTreatment of: • Fixed unknown / diffuse](https://reader034.vdocuments.us/reader034/viewer/2022051509/5ae4ac947f8b9a87048b91fc/html5/thumbnails/15.jpg)
Concluding remarks
Freely downlable fromhttp://www.nbb.be/app/dqrd/index.htm
New applications → some caution !Extensions (SSF)
Other SSF (Durbin-Quenneville, ...)Multivariate SSF (2006 ?).
![Page 16: Reusable components based on the Kalman filter.ec.europa.eu/eurostat/documents/4587857/4587935/09... · · 2014-10-21... Durbin/Koopman zTreatment of: • Fixed unknown / diffuse](https://reader034.vdocuments.us/reader034/viewer/2022051509/5ae4ac947f8b9a87048b91fc/html5/thumbnails/16.jpg)
External collaboration welcome
Feedback on the current end products.Use of the library for programming ?
• → Documentation, user's guide, ...
Other similar approaches ?• → Exchange of modules, code, ...
Multivariate methods• → Methodological support, tests, ...
Other related topics• Structural models• Seasonal adjustment, ...
![Page 17: Reusable components based on the Kalman filter.ec.europa.eu/eurostat/documents/4587857/4587935/09... · · 2014-10-21... Durbin/Koopman zTreatment of: • Fixed unknown / diffuse](https://reader034.vdocuments.us/reader034/viewer/2022051509/5ae4ac947f8b9a87048b91fc/html5/thumbnails/17.jpg)
References
Di Fonzo, T. (2003), "Temporal disaggregation of economic time series: towards a dynamic extension", working papers and studies, European Communities.Durbin J. and Koopman S.J. (2001), "Time Series Analysis by State Space Methods". Oxford University Press.Gomez V. and Maravall A. (1994), "Estimation, Prediction, andInterpolation for Nonstationary Series With the Kalman Filter", Journal of the American Statistical Association, vol 89, n° 426, 611-624.Harvey, A.C. (1989), "Forecasting, Structural Time Series Models andthe Kalman Filter", Cambridge University Press.Proietti T. (2004), "Temporal disaggregation by State Space Methods: Dynamic Regression Methods Revisited", working papers and studies, European Communities.Wei, W.W.S and Stram D.O. (1986), "Temporal aggregation in the ARIMA process", Journal of Time Series Analysis, vol 7, n°4, 279-292.