A robust-filtering method for noisy non-stationary multivariate time series with econometric applications
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Publication:825334
DOI10.1007/s42081-020-00102-yzbMath1477.62261MaRDI QIDQ825334
Publication date: 17 December 2021
Published in: Japanese Journal of Statistics and Data Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s42081-020-00102-y
trend-cycle; SIML; errors-variables models; Fourier-inversion; macro-economic data in Japan; Müller-Watson method; noisy non-stationary time series; real-valued orthogonal process; robust-filtering; seasonality and noise
62P20: Applications of statistics to economics
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)