A new state-space methodology to disaggregate multivariate time series

DOI10.1111/j.1467-9892.2008.00602.xzbMath1224.62081MaRDI QIDQ3077643

Víctor Gómez, Félix Aparicio Pérez

Publication date: 22 February 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2008.00602.x

zbMATH Keywords

interpolation; observability; smoothing; Kalman filter; temporal aggregation

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M20: Inference from stochastic processes and prediction

62H99: Multivariate analysis

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

Related Items

Temporal Aggregation of Lognormal AR processes

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