Optimal signal extraction with correlated components

DOI10.1515/JTSE-2013-0016MaRDI QIDQ1695657zbMATH OpenOpenAlexFDO

Authors Tucker S. McElroy, Agustín Maravall

Publication date 7 February 2018

Published in Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/jtse-2013-0016

zbMATH Keywords

ARIMAnonstationaryseasonalitytime series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20)

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Cites work

• An ARIMA-Model-Based Approach to Seasonal Adjustment
• An iterated parametric approach to nonstationary signal extraction
• Computation of asymmetric signal extraction filters and mean squared error for ARIMA component models
• Estimation and Prediction for a Class of Dynamic Nonlinear Statistical Models
• scientific article; zbMATH DE number 3589628 (Why is no real title available?)
• scientific article; zbMATH DE number 3054885 (Why is no real title available?)
• INITIALIZING THE KALMAN FILTER FOR NONSTATIONARY TIME SERIES MODELS
• MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• Signal extraction from nonstationary time series
• State Space and Unobserved Component Models
• The beveridge-nelson decomposition: Properties and extensions
• The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics
• Time series: theory and methods.
• Trend–Cycle Decompositions with Correlated Components

Cited in

(9)

• Statistical signal extraction using stable processes
• On Optimal Selection of Correlation Matrices for Matrix-Pencil-Based Separation
• scientific article; zbMATH DE number 1390144 (Why is no real title available?)
• Recursive and en-bloc approaches to signal extraction
• Predictability, real time estimation, and the formulation of unobserved components models
• Signal smoothing for score-driven models: a linear approach
• Identification of continuous-time linear filters when only discrete-time data is available
• Core inflation rate for China and the ASEAN-10 countries: smoothed signal for score-driven local level plus scale models
• Econometric methods of signal extraction

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Uses Software

• R

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