Predictability, real time estimation, and the formulation of unobserved components models (Q5862414)

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scientific article; zbMATH DE number 7486126
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Predictability, real time estimation, and the formulation of unobserved components models
scientific article; zbMATH DE number 7486126

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    Predictability, real time estimation, and the formulation of unobserved components models (English)
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    9 March 2022
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    ARMA models
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    steady state Kalman filter
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    correlated components
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    nonfundamentalness
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