This paper deals with the estimation of linear dynamic models of the ARMA type for the conditional mean for time series with conditionally heteroskedastic innovation process widely used in modelling financial time series. Estimation is performed using subspace methods which are known to have...

The class of Markov switching models can be extended in two main directions in a multivariate framework. In the first approach, the switching dynamics are introduced by way of a common latent factor. In the second approach a VAR model with parameters depending on one common Markov chain is...

Model-based small area predictors are derived under the assumption that data files are complete. In application to real data, files may contain missing values. We introduce a variant of the bivariate Fay-Herriot model that takes into account for missing values in one component of the target...

Model-based small area predictors are derived under the assumption that data files are complete. In application to real data, files may contain missing values. We introduce a variant of the bivariate Fay-Herriot model that takes into account for missing values in one component of the target...