Properties of higher order stochastic cycles

DOI10.1111/j.0143-9782.2005.00462.xzbMath1113.62110OpenAlexW2145307083MaRDI QIDQ3440737

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

Kalman filtersignal extractionstochastic cyclesband-path filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (4)

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

Uses Software

• STAMP

Cites Work

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

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