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Australasian Biometrics and New Zealand Statistical Association Joint Conference 2001
December 10-13, 2001
Park Royal Hotel
Christchurch, New Zealand

Organizers
David Baird, Dave Saville, Harold Henderson, Peter Johnstone, Marco Reale, Irene Hudson, Julian Visch, Roger Littlejohn

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A Kalman filter approach to benchmarking
by
John Crequer
Statistics New Zealand
Coauthors: Andrea Piesse (Statistics New Zealand)

Many time series only have annual observations but we are often interested in reconstructing the behaviour of the series at a higher frequency, such as quarterly. These more frequent observations may not be available due to cost or due to efforts to reduce the survey response burden. While the series of interest may not be available quarterly, another series which indicates its movements may be available instead. This paper discusses an application of state space models and the Kalman filter to this problem, both with and without an indicator series.

Date received: September 13, 2001

Copyright © 2001 by the author(s). The author(s) of this document and the organizers of the conference have granted their consent to include this abstract in Atlas Conferences Inc. Document # caic-00.