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Kalman filtering and smoothing for model-based signal extraction that depend on time-varying spectra
Koopman, Siem Jan; Wong, Soon Yip - In: Journal of forecasting 30 (2011) 1, pp. 147-167
Persistent link: https://www.econbiz.de/10009233911
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A non-Gaussian generalization of the airline model for robust seasonal adjustment
Aston, John A. D.; Koopman, Siem Jan - In: Journal of forecasting 25 (2006) 5, pp. 325-349
Persistent link: https://www.econbiz.de/10003364184
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Quantile forecasting for credit risk management using possibly misspecified hidden Markov models
Banachewicz, Konrad; Lucas, André - In: Journal of forecasting 27 (2008) 7, pp. 566-586
Persistent link: https://www.econbiz.de/10003779594
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Quantile forecasting for credit risk management using possibly misspecified hidden Markov models
Banachewicz, Konrad; Lucas, André - In: Journal of forecasting 27 (2008) 7, pp. 566-586
Persistent link: https://www.econbiz.de/10008134947
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A non-Gaussian generalization of the Airline model for robust seasonal adjustment
Aston, John A.D.; Koopman, Siem Jan - In: Journal of forecasting 25 (2006) 5, pp. 325-350
Persistent link: https://www.econbiz.de/10007284958