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IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS

Journal of Time Series Analysis, 1989
Abstract. Unobserved components ARIMA models are common in time series applications. However, fitting models of this type leads to problems of model identification. In this paper we derive a methodology to check whether a proposed model is identifiable.
Luiz K Hotta
exaly   +2 more sources

Unobserved Components Models

open access: yes, 2023
Unobserved components models (UCMs), sometimes referred to as structural time-series models, decompose a time series into its salient time-dependent features. These typically characterize the trending behavior, seasonal variation, and (nonseasonal) cyclical properties of the time series.
Ercolani, Joanne
openaire   +2 more sources

Unemployment and Hysteresis: A Nonlinear Unobserved Components A Nonlinear Unobserved Components A Nonlinear Unobserved Components A Nonlinear Unobserved Components A Nonlinear Unobserved Components Approach [PDF]

open access: yes
A new test for hysteresis based on a nonlinear unobserved components model is proposed. Observed unemployment rates are decomposed into a natural rate component and a cyclical component. Threshold type nonlinearities are introduced by allowing past cyclical unemployment to have a different impact on the natural rate depending onthe regime of the ...
Silvestro DI SANZO, Alicia PEREZ-ALONSO
openaire   +1 more source

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