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, often appropriate after...

The purpose of this paper is to solve the problem stated in [5, Pg. 139] of finding a necessary and sufficient condition for a stratified L–filter to be induced by a [latticetop]–filter in the sense of [5, Lemma 4.4.3]. This condition given is proved to be equivalent to the condition...

We develop a numerical procedure that facilitates efficient filtering in applications involving non-linear and non-Gaussian state-space models. The procedure approximates necessary integrals using continuous approximations of target densities. Construction is achieved via efficient importance...

This paper discusses identification, specification, estimation and forecasting for a general class of periodic unobserved components time series models with stochastic trend, seasonal and cycle components. Convenient state space formulations are introduced for exact maximum likelihood...