Signal Extraction and the Formulation of Unobserved Components Models
Year of publication: |
1999
|
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Authors: | Harvey, A.C. ; Koopman, S.J.M. |
Institutions: | Tilburg University, Center for Economic Research |
Subject: | Cubic spline | Kalman filter and smoother | Kernels | Robustness | Structural time series model | Trend | Wiener-Kolmogorov filter |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series CentER Discussion Paper Number 1999-44 |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models |
Source: |
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