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A Newton's Method for Benchmarking Time Series According to a Growth Rates Preservation Principle, Marco Marini, Tommaso Di Fonzo

Abstract
This work presents a new technique for temporally benchmarking a time series according to the growth rates preservation principle (GRP) by Causey and Trager (1981). A procedure is developed which (i) transforms the original constrained problem into an unconstrained one, and (ii) applies a Newton's method exploiting the analytic Hessian of the GRP objective function. We show that the proposed technique is easy to implement, computationally robust and efficient, all features which make it a plausible competitor of other benchmarking procedures (Denton, 1971; Dagum and Cholette, 2006) also in a data-production process involving a considerable amount of series
Table Of Contents
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Growth Rates Preservation and Temporal Benchmarking; A. Modified Denton PFD; III. Gradient Vector and Hessian Matrix of the GRP criterion; IV. From a constrained to an unconstrained minimization problem; A. Eliminating the Linear Equality Constraints; B. Generating an Elimination Matrix by QR factorization; C. The Reduced Unconstrained Minimization Problem; V. Line-Search Algorithms for Unconstrained Minimization; A. Newton's Method with Hessian Modification; B. Steepest Descent and Quasi-Newton Methods
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (63 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781463901905

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