State space modeling of multiple time series (Q3359622)
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scientific article; zbMATH DE number 4213286
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | State space modeling of multiple time series |
scientific article; zbMATH DE number 4213286 |
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State space modeling of multiple time series (English)
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1991
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forecasts
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linear systems theory
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multivariate state space method
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nonstationary problems
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ARMA models
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dynamic factors
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robust
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model misspecification
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formal approximation problem
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Hankel norm
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decomposition into long run and short run dynamics
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trend
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cycle components
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cointegration
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error correction models
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U.S. GNP
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money stock growth rates
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0.8411936163902283
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0.8068440556526184
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0.803712785243988
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