Koopman, Siem Jan; Lee, Kai Ming - In: Journal of the Royal Statistical Society Series C 58 (2009) 4, pp. 427-448
Unobserved components time series models decompose a time series into a trend, a season, a cycle, an irregular disturbance and possibly other components. These models have been successfully applied to many economic time series. The standard assumption of a linear model, which is often...