A number of important economic time series are recorded on a particular day every week. Seasonal adjustment of such series is difficult because the number of weeks varies between 52 and 53 and the position of the recording day changes from year to year. In addtion certain festivals, most notably...

The score vector for a time series model which fits into the Gaussian state space form can be approximated by numerically differentiating the log-likelihood. If the parameter vector is of length p, this involves the running of p + 1 Kalman filters. This paper shows the score vector can be...

Much of economic analysis presupposes that certain economic time series can be decomposed into trends and cycles. Structural time series models are explicitly set up in terms of such unobserved components. This paper sets up various multivariate structural time series models, shows how they can...

Many series are subject to data irregularities such as missing values, outliers, structural breaks and irregular spacing. Data can also be messy, and hence difficult to handle by standard procedures, when they are intrinsically non-Gaussian or contain complicated periodic patterns because they...