\( \newcommand\R{\mathbb{R}} \newcommand\Z{\mathbb{Z}} \newcommand\LL{\mathbb{L}} \newcommand{\E}[1]{\mathbb{E}\left[#1\right]} \newcommand{\V}[1]{\mathbb{V}\left[#1\right]} \newcommand{\ps}[2]{\left\langle #1 \,,\, #2 \right\rangle} \newcommand\1{\mathbb{1}} \newcommand\N{\mathbb{N}} \newcommand\Norm{\mathcal{N}} \newcommand{\transp}[1]{{}^t\!#1} \newcommand\ud{\,\mathrm{d}} \DeclareMathOperator*{\argmax}{argmax} \DeclareMathOperator*{\argmin}{argmin} \DeclareMathOperator{\e}{e} \DeclareMathOperator{\Cov}{Cov} \DeclareMathOperator{\Determinant}{det} \newcommand{\determinant}[1]{\Determinant\left(#1\right)} \)

Références

Berlinet, Alain. 1993. « Hierarchies of higher order kernels ». Probability Theory and Related Fields 94: 489‑504.

Berlinet, Alain, et Christine Thomas-Agnan. 2004. Reproducing Kernel Hilbert Spaces in Probability and Statistics. Springer.

Cleveland, Robert B., William S. Cleveland, Jean E. McRae, et Irma Terpenning. 1990. « STL: A Seasonal-Trend Decomposition Procedure Based on Loess (with Discussion) ». Journal of Official Statistics 6: 3‑73. https://www.scb.se/contentassets/ca21efb41fee47d293bbee5bf7be7fb3/stl-a-seasonal-trend-decomposition-procedure-based-on-loess.pdf.

Cleveland, William S., et Clive Loader. 1996. « Smoothing by local regression: Principles and methods ». In Statistical theory and computational aspects of smoothing, 10‑49. Springer.

Dagum, Estela Bee. 1996. « A new method to reduce unwanted ripples and revisions in trend-cycle estimates from X-11-ARIMA ». Survey Methodology 22: 77‑84. https://www150.statcan.gc.ca/n1/fr/pub/12-001-x/1996001/article/14383-fra.pdf?st=zUxzBC0K.

Dagum, Estela Bee, et Silvia Bianconcini. 2008. « The Henderson Smoother in Reproducing Kernel Hilbert Space ». Journal of Business & Economic Statistics 26: 536‑45. https://ideas.repec.org/a/bes/jnlbes/v26y2008p536-545.html.

———. 2015. « A new set of asymmetric filters for tracking the short-term trend in real-time ». The Annals of Applied Statistics 9 (3): 1433‑58. https://doi.org/10.1214/15-AOAS856.

———. 2016. Seasonal adjustment methods and real time trend-cycle estimation. Springer.

———. 2023. « Monitoring the direction of the short-term trend of economic indicators ». Econometric Reviews 42 (5): 421‑40. https://doi.org/10.1080/07474938.2023.2209008.

Darne, Olivier, et Estelle Bee Dagum. 2009. « Performance of short-term trend predictors for current economic analysis ». Economics Bulletin 29 (1): 79‑89. http://www.accessecon.com/Pubs/EB/2009/Volume29/EB-09-V29-I1-P7.pdf.

De Forest, Erastus L. 1877. « On adjustment formulas ». The Analyst 4 (3): 79‑86.

Feng, Yuanhua, et Bastian Schäfer. 2021. « Boundary modification in local polynomial regression ». Working Papers CIE 144. Paderborn University, CIE Center for International Economics. https://ideas.repec.org/p/pdn/ciepap/144.html.

Ferrara, Laurent. 2009. « Caractérisation et datation des cycles économiques en zone euro ». Revue économique 60 (3): 703‑12. https://doi.org/10.3917/reco.603.0703.

Gray, Alistair, et Peter Thomson. 1996. « Design of Moving-Average Trend Filters using Fidelity and Smoothness Criteria ». In Athens Conference on Applied Probability and Time Series Analysis, édité par P. M. Robinson et Murray Rosenblatt, 205‑19. New York, NY: Springer New York. https://www.census.gov/library/working-papers/1996/adrm/rr96-01.html.

Grun-Rehomme, Michel, Fabien Guggemos, et Dominique Ladiray. 2018. « Asymmetric Moving Averages Minimizing Phase Shift ». Handbook on Seasonal Adjustment. ec.europa.eu/eurostat/web/products-manuals-and-guidelines/-/KS-GQ-18-001.

Grun-Rehomme, Michel, et Dominique Ladiray. 1994. « Moyennes mobiles centrées et non-centrées. Construction et comparaison ». Revue de Statistique Appliquée 42 (3): 33‑61. http://www.numdam.org/item/RSA_1994__42_3_33_0/.

Henderson, Robert. 1916. « Note on graduation by adjusted average ». Transactions of the actuarial society of America 17: 43‑48.

Ladiray, Dominique. 2018. « Moving Average Based Seasonal Adjustment ». Handbook on Seasonal Adjustment. ec.europa.eu/eurostat/web/products-manuals-and-guidelines/-/KS-GQ-18-001.

Loader, Clive. 1999. Local regression and likelihood. New York: Springer-Verlag.

Luati, Alessandra, et Tommaso Proietti. 2011. « On the equivalence of the weighted least squares and the generalised least squares estimators, with applications to kernel smoothing ». Annals of the Institute of Statistical Mathematics 63 (4): 851‑71. https://doi.org/10.1007/s10463-009-0267-8.

Macaulay, Frederick R et al. 1931. « The smoothing of time series ». NBER Books.

McCracken, Michael W., et Serena Ng. 2016. « FRED-MD: A Monthly Database for Macroeconomic Research ». Journal of Business & Economic Statistics 34 (4): 574‑89. https://doi.org/10.1080/07350015.2015.1086655.

McElroy, Tucker, et Marc Wildi. 2020. « The Multivariate Linear Prediction Problem: Model-Based and Direct Filtering Solutions ». Econometrics and Statistics 14 (C): 112‑30. https://doi.org/10.1016/j.ecosta.2019.12.004.

McLaren, Craig H, et David G Steel. 2001. « Rotation patterns and trend estimation for repeated surveys using rotation group estimates ». Statistica Neerlandica 55 (2): 221‑38. https://documents.uow.edu.au/~craigmc/sn_2001.pdf.

Musgrave, John C. 1964. « A set of end weights to end all end weights ». US Census Bureau [custodian]. https://www.census.gov/library/working-papers/1964/adrm/musgrave-01.html.

Pierce, David A. 1980. « Data revisions with moving average seasonal adjustment procedures ». Journal of Econometrics 14 (1): 95‑114. https://ideas.repec.org/a/eee/econom/v14y1980i1p95-114.html.

Proietti, Tommaso, et Alessandra Luati. 2008. « Real time estimation in local polynomial regression, with application to trend-cycle analysis ». Ann. Appl. Stat. 2 (4): 1523‑53. https://doi.org/10.1214/08-AOAS195.

Vasyechko, Olga, et Michel Grun-Rehomme. 2014. « A new smoothing technique for univariate time series: the endpoint problem ». Economics Bulletin 34 (3): 1419‑30. https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-13-00344.

Wildi, Marc, et Tucker McElroy. 2013. « Optimal Real-Time Filters for Linear Prediction Problems ». Journal of Time Series Econometrics 8 (décembre). https://doi.org/10.1515/jtse-2014-0019.

———. 2019. « The trilemma between accuracy, timeliness and smoothness in real-time signal extraction ». International Journal of Forecasting 35 (3): 1072‑84. https://EconPapers.repec.org/RePEc:eee:intfor:v:35:y:2019:i:3:p:1072-1084.

Wildi, Marc, et Bernd Schips. 2004. « Signal Extraction: How (In)efficient Are Model-Based Approaches? An Empirical Study Based on TRAMO/SEATS and Census X-12-ARIMA ». KOF Working papers 04-96. KOF Swiss Economic Institute, ETH Zurich. https://doi.org/10.3929/ethz-a-004957347.

Zellner, Arnold, Chansik Hong, et Chung-ki Min. 1991. « Forecasting turning points in international output growth rates using Bayesian exponentially weighted autoregression, time-varying parameter, and pooling techniques ». Journal of Econometrics 49 (1-2): 275‑304. https://EconPapers.repec.org/RePEc:eee:econom:v:49:y:1991:i:1-2:p:275-304.