A robust-filtering method for noisy non-stationary multivariate time series with econometric applications

DOI10.1007/s42081-020-00102-yzbMath1477.62261MaRDI QIDQ825334

Seisho Sato, Naoto Kunitomo

Publication date: 17 December 2021

Published in: Japanese Journal of Statistics and Data Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s42081-020-00102-y

zbMATH Keywords

trend-cycle; SIML; errors-variables models; Fourier-inversion; macro-economic data in Japan; Müller-Watson method; noisy non-stationary time series; real-valued orthogonal process; robust-filtering; seasonality and noise

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)