A Note on the Extraction of Components from Time Series

DOI10.2307/1913421MaRDI QIDQ4042570zbMATH OpenOpenAlexFDO

Authors Adrian Pagan

Publication date 1975

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1913421

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20) Estimation and detection in stochastic control theory (93E10)

Cited in

(7)

• Blind signal separation of mixtures of chaotic processes: a comparison between independent component analysis and state space modeling
• Asymptotic distribution theory for the kalman filter state estimator
• scientific article; zbMATH DE number 1208131 (Why is no real title available?)
• Decomposition of neurological multivariate time series by state space modelling
• Prediction theory for autoregressivemoving average processes
• Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
• On the dynamic structure of a seasonal component

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