Optimal signal extraction with correlated components
DOI10.1515/JTSE-2013-0016zbMATH Open1499.62340OpenAlexW2002946498MaRDI QIDQ1695657FDOQ1695657
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
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- Trend–Cycle Decompositions with Correlated Components
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- An iterated parametric approach to nonstationary signal extraction
- The beveridge-nelson decomposition: Properties and extensions
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Cited In (7)
- Signal smoothing for score-driven models: a linear approach
- Econometric methods of signal extraction
- Predictability, real time estimation, and the formulation of unobserved components models
- On Optimal Selection of Correlation Matrices for Matrix-Pencil-Based Separation
- Statistical signal extraction using stable processes
- Recursive and en-bloc approaches to signal extraction
- Title not available (Why is that?)
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