Unobserved components models with correlated disturbances

DOI10.1007/S10260-003-0074-YMaRDI QIDQ1767009zbMATH OpenOpenAlexWikidataFDO

Authors Tommaso Proietti

Publication date 3 March 2005

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10260-003-0074-y

zbMATH Keywords

canonical decompositionsmoothing splinestime series models

Mathematics Subject Classification ID

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

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Cited in

(10)

• On the identification of multivariate correlated unobserved components models
• A permanent-transitory decomposition for ARFIMA processes
• A note on the two assumptions of standard unobserved components models
• Modeling temporally uncorrelated components of complex-valued stationary processes
• Unobserved variables. Models and misunderstandings
• IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS
• Trend–Cycle Decompositions with Correlated Components
• scientific article; zbMATH DE number 2230348 (Why is no real title available?)
• Predictability, real time estimation, and the formulation of unobserved components models
• Trend and cycle decomposition of Markov switching (co)integrated time series

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