Cycles and Trends

Christiaan Heij (), André C.M. Ran () and Frederik van Schagen ()
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Christiaan Heij: Erasmus University Rotterdam, Department of Econometrics
André C.M. Ran: Vrije Universiteit, Department of Mathematics
Frederik van Schagen: Vrije Universiteit, Department of Mathematics

Chapter 10 in Introduction to Mathematical Systems Theory, 2021, pp 157-176 from Springer

Abstract: Abstract For many time series, trends and cyclical fluctuations dominate the stationary part. The main cyclical components can be identified by spectral analysis. Trends and seasonals can either be incorporated explicitly in the model or they can be removed by filtering the data.

Date: 2021
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DOI: 10.1007/978-3-030-59654-5_10

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