Signal Extraction and the Formulation of Unobserved Components Models

Andrew Harvey and Siem Jan Koopman

No 1999-44, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: Cubic spline; Kalman filter and smoother; Kernels; Robustness; Structural time series model; Trend; Wiener-Kolmogorov filter (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Signal extraction and the formulation of unobserved components models (2000)
Working Paper: Signal Extraction and the Formulation of Unobserved Components Models (1999)
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