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A data-driven selection of an appropriate seasonal adjustment approach
Webel, Karsten - 2016
Recent releases of X-13ARIMA-SEATS and JDemetra+ enable their users to choose between the non-parametric X-11 and the parametric ARIMA model-based approach to seasonal adjustment for any given time series without the necessity of switching between different software packages. To ease the...
Persistent link: https://www.econbiz.de/10011452778
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Readings in unobserved components models
Harvey, Andrew C. (ed.); Proietti, Tommaso (contributor) - 2005
Persistent link: https://www.econbiz.de/10002421308
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An introduction to wavelets and other filtering methods in finance and economics
Gençay, Ramazan; Selçuk, Faruk; Whitcher, Brandon - 2002
Persistent link: https://www.econbiz.de/10001581851
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Forecasting, structural time series models and the Kalman filter
Harvey, Andrew C. - 1994 - Reprint.
Persistent link: https://www.econbiz.de/10000550610
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Optimal filtering
Anderson, Brian D. - 1979
Persistent link: https://www.econbiz.de/10013476841
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Expected a posteriori estimation in financial applications
Mazzoni, Thomas - 2008
Persistent link: https://www.econbiz.de/10003699961
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An introduction to state space time series analysis
Commandeur, Jacques J. F.; Koopman, Siem Jan - 2007
Persistent link: https://www.econbiz.de/10003449623
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Introduction to random signals and applied Kalman filtering : with MATLAB exercises and solutions
Brown, Robert Grover; Hwang, Patrick Y. C. - 1997 - 3. ed.
Persistent link: https://www.econbiz.de/10000607686
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Cointegration analysis with mixed-frequency data
Seong, Byeongchan (contributor); Ahn, Sung K. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003496561