Unobserved components models with correlated disturbances

Tommaso Proietti

Statistical Methods & Applications, 2004, vol. 12, issue 3, No 2, 277-292

Abstract: Abstract. The paper deals with the decomposition of a time series process admitting an ARIMA representation into permanent and transitory components, with the intent of investigating whether the introduction of correlated disturbances provides meaningful extensions of the admissible parameter range. The main points are illustrated with reference to ARIMA(2,1,0) and IMA(2,2) models. It is argued that there is very little reason for such extensions, and that the restrictions implied by the assumption of uncorrelated components are sound.

Keywords: Canonical decomposition; Time series models; Smoothing splines (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1007/s10260-003-0074-y

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