In this paper we derive the Kalman filter equations when the system state and the observation error of a state-space model are correlated. We also consider: (i) error processes with nonnegative definite variance-covariance matrices and (ii) disturbance probability distributions that are...

An important concern in statistics is the linear combination of predictors of a random variable that are based on several sources of information. In the time-series context the technique is used, for example, to forecast or estimate missing observations. At the practical level, it is well known...

In this theoretical report, the identifiability property of a coincident index model is studied. As a result, characterization of the identifiability conditions solves a model specification problem, which was detected in the design of an earlier index for the Colombian economy.

The construction of coincident indexes for the economic activity of a country is a common practice since the fifties. The methodologies vary from heuristic methods to probabilistic or statistical ones. In this paper, we present a new procedure for estimating a coincient index of the state of the...

The construction of coincident indexes for the economic activity of a country is a common practice since the fifties. The methodologies vary from heuristic methods to probabilistic or statistical ones. In this paper, we present a new procedure for estimating a coincident index of the state of...

Dentro de la teoría de los ciclos económicos, la metodología de indicadores económicos coincidentes y líderes ha jugado un papel importante en la descripción y pronóstico del estado de la actividad económica. Una forma utilizada para calcular índices compuestos de variables indicadoras...