Properties of higher order stochastic cycles

DOI10.1111/J.0143-9782.2005.00462.XMaRDI QIDQ3440737zbMATH OpenOpenAlexFDO

Authors Thomas M. Trimbur

Publication date 29 May 2007

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

Full work available at URL https://doi.org/10.1111/j.0143-9782.2005.00462.x

zbMATH Keywords

band-path filterKalman filtersignal extractionstochastic cycles

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)

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Cites work

• Recursive estimation and time-series analysis. An introduction
• Smoothness priors analysis of time series
• Tests for Deterministic Versus Indeterministic Cycles

Cited in

(7)

• Higher-order cyclostationarity properties of sampled time-series
• The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics
• CYCLICAL TRENDS IN CONTINUOUS TIME MODELS
• Trends and cycles in economic time series: a Bayesian approach
• Hyper-spherical and elliptical stochastic cycles
• Statistical properties of oscillatory processes with stochastic modulation in amplitude and time
• A Bayesian nonlinear model with multiple frequencies for business cycle analysis

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Uses Software

• STAMP

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