Time series models are presented for which the seasonal component estimates delivered by linear least squares signal extraction closely approximate those of the standard option of the widely-used Cencus X-11 program. Earlier work is extended by consideration of a broader class of models and by...

This paper considers the use of the Kalam filter to perform the seasonal adjustment and to calculate the variance of the signal extraction error in model-based seasonal adjustment procedures. The steady-state filter covariance is seen to provide a convenient basis for obtaining the variances not...

The state-space method is applied to the problem of separating an autoregressive (AR) signal from composite AR and white normal noise. In the stationary case, for which the Wiener filter exists, we show explicitly its equavalence to the steady-state Kalman filter. Existing results for...

This paper is a complete revision and considerable extension of "signal extraction in nonstationary series", Warwick Economic Research Paper No. 234, August 1983. Early versions of parts of the work were presented at European meetings of the Econometric Society, Pisa, 1983 and Madrid, 1984. This...