Calculating the Variance of Seasonally Adjusted Series
研究了用卡尔曼滤波进行季节调整并计算信号提取误差方差的方法，稳态滤波协方差可用于获取当前调整及后续修订的方差，并应用于X-11方法的未观测成分模型和实际经济时间序列。
Abstract This article considers the use of the Kalman 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 only of the current adjustment but also of subsequent revisions. The method is applied to the unobserved-components model we have recently proposed as a justification of the X-11 method and to a real economic time series.