A Beveridge-Nelson smoother.

DOI10.1016/S0165-1765(99)00276-1MaRDI QIDQ1978559zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 4 June 2000

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(99)00276-1

zbMATH Keywords

DecompositionKalman filter and smootherSignal extractionUnobserved componentsWiener-Kolmogorov filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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Cites work

• Prediction theory for autoregressivemoving average processes
• Signal extraction from nonstationary time series

Cited in

(7)

• Characterising economic trends by Bayesian stochastic model specification search
• Trend estimation of financial time series
• On the spectral properties of matrices associated with trend filters
• Unscented Rauch--Tung--Striebel Smoother
• The relationship between the Beveridge-Nelson decomposition and exponential smoothing
• Trend–Cycle Decompositions with Correlated Components
• The multistep Beveridge-Nelson decomposition

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