An Exact Multivariate Model-Based Structural Decomposition

DOI10.1198/016214502760047087MaRDI QIDQ4468407zbMATH OpenOpenAlexFDO

Authors J. Casals, M. Jerez, S. Sotoca

Publication date 10 June 2004

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://eprints.ucm.es/id/eprint/29230/1/0006.pdf

Mathematics Subject Classification ID

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

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(19)

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• A STATE SPACE TIME SERIES MODELLING METHOD WITHOUT INDIVIDUAL DETRENDING
• scientific article; zbMATH DE number 4005392 (Why is no real title available?)
• From general state-space to VARMAX models
• Miscellanea. Time series decomposition
• Decomposition of Time Series Dynamic Linear Models
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• Single and multiple error state-space models for signal extraction
• Trend–Cycle Decompositions with Correlated Components
• Unit roots and cointegration modelling through a family of flexible information criteria
• Multivariate time series decomposition into oscillation components
• Coerenza e revisione nelle componenti canoniche. (Coherence and revision in canonical components)
• Identification of canonical models for vectors of time series: a subspace approach
• Decomposition of time series models in state-space form

Describes a project that uses

Uses Software

• Matlab
• E4

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