1 / 9

The NBB time series toolkit

Advanced toolkit for time series analysis with functionalities like outliers detection, forecasting, and seasonal adjustment. The toolkit is IT-friendly, portable, and supports various applications. Collaborative effort towards a common seasonal adjustment framework.

mearles
Download Presentation

The NBB time series toolkit

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. The NBB time series toolkit Towards a seasonal adjustment framework jean.palate@nbb.be

  2. NBB TS toolkit. Goals • Functional • Providing solutions in the time series domain, for the production and the analysis of official statistics • Outliers detection, forecasting, missing values estimation, seasonal adjustment, benchmarking, temporal disaggregation, retropolation, cycle detection ... • IT • Fast and coherent developments, for a variety of contexts • from batch processing to advanced graphical interfaces • integration in commercial software or in in-house developments

  3. NBB TS toolkit. Description • Based on standard technologies • [COM/C++], .NET, Java • Design • Fine granularity (> 500 classes) • From low-level entities to high-level modules. • No direct connection with specific data sources • Portable solution • Separate modules to access DBs

  4. Strict splitting of the different layers

  5. SA Framework. Context • Seasonal Adjustment Steering Group (SASG, ECB-Eurostat) • Guidelines and recommendations for the ESS. • IT sub-group of the SASG (9/2007) • Replacement of DEMETRA • Goals of the new software • Should reflect the recommandations of the SASG • Open (extensible, reusable), modular solution • Portable (not linked to a specific configuration) • Based on the current core engines (Tramo-Seats and X13) • Common modules (analysis, presentation, reports ...) for both algorithms • New architecture: similar to the NBB TS library

  6. Final applications EXCEL ADD-INS "NEW DEMETRA" STAND-ALONE APPLICATIONS User interface toolkit NBB TS library SEASONAL ADJUSTMENT USER'S INTERFACES (PRESENTATION, FORMATTING) NBB, any other NSI, NCB, outsourcing DATABASES CONNECTIONS Any NSI, NCB, outsourcing High-level econometric libraries NBB TS library SEASONAL ADJUSTMENT MODULES (ANALYSIS, AUXILIARY ALGORITHMS) NBB, any other NSI, NCB, outsourcing CORE CONCEPTS NBB TS library TRAMO-SEATS (FORTRAN) BDE X13 (FORTRAN) USCB Low-level algorithms SA Framework. Architecture

  7. SA Framework. Responsabilites • Specifications • Users' requirements, SA recommendations • SASG • Developments • Core engines • Bank of Spain, US Census Bureau (NBB for the COM interface) • Auxiliary modules • NBB (current TS library), other NSIs, NCBs ..., Outsourcing • Final applications(s) • Outsourcing • Organization, logistics: • Eurostat

  8. Challenges • Stable core API (Object-model) • Testing (accuracy of the algorithms, reusability of the design) • Versioning • Documentation - Education - Users' community • Open source solution (?)

  9. Concluding remarks • An IT solution based on reusable OO components is a valuable approach in the statistical domain (see NBB library). • The building of a common seasonal adjustment framework, using a similar approach and with the collaboration of several entities, is a challenging attempt.

More Related