This article addresses the problem of disaggregating multivariate time series sampled at different frequencies using state-space models. In particular, we consider the relation between the high-frequency and low-frequency models, the possible loss of observability and identifiability in the...

Wiener-Kolmogorov filtering and smoothing usually deal with projection problems for stochastic processes that are observed over semi-infinite and doubly infinite intervals. For multivariate stationary series, there exist closed formulae based on covariance generating functions that were first...