We consider the problem of smoothing data on two-dimensional grids with holes or gaps. Such grids are often referred to as difficult regions. Since the data is not observed on these locations, the gap is not part of the domain. We cannot apply standard smoothing methods since they smooth over...

This discussion paper led to a publication in <A href="http://www.tandfonline.com/doi/abs/10.1198/jbes.2011.10070">'Journal of Business & Economic Statistics'</A>, 29(4), 552-63.<P>We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts...</p></a>

We study the performance of two analytical methods and one simulation method for computing in-sample confidence bounds for time-varying parameters. These in-sample bounds are designed to reflect parameter uncertainty in the associated filter. They are applicable to the complete class of...

This paper investigates the feasibility of using earlier provisional data to improve the now- and forecasting accuracy of final and official statistics. We propose the use of a multivariate structural time series model which includes common trends and seasonal components to combine official...