A STATE SPACE TIME SERIES MODELLING METHOD WITHOUT INDIVIDUAL DETRENDING

Masanao Aoki

Journal of Time Series Analysis, 1991, vol. 12, issue 1, 1-26

Abstract: Abstract. A state space method for building time series models without detrending each component of data vectors individually is presented. The method uses the recent algorithm based on the singular‐value decomposition of the Hankel matrix and a two‐step sequential procedure suggested by the notion of dynamic aggregation. Some asymptotic properties of the estimators of the model parameter and error estimates are also presented.

Date: 1991
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