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On Finite and Non-Finite Bayesian Mixture Models
Journal of New Theory, 2023 In this paper, a Bayesian paradigm of a mixture model with finite and non-finite components is expounded for a generic prior and likelihood that can be of any distributional random noise.
Sodiq Adejare Olanrewaju +3 more
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Signal extraction and the formulation of unobserved components models [PDF]
The Econometrics Journal, 2000 Summary: This paper looks at unobserved components models and examines the implied weighting patterns for signal extraction. There are four main themes. The first concerns the implications of correlated disturbances driving the components, especially those cases in which the correlation is perfect.
Harvey, A.C., Koopman, S.J.M.
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Fractional unobserved components and factor models: econometric theory and applications [PDF]
, 2023 This thesis develops generalizations of unobserved components and factor models to account for long memory. Long memory describes a strongly persistent and often non-stationary behavior, as found for numerous time series in macroeconomics, finance ...
Hartl, Tobias
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Reconciling output gaps: Unobserved components model and Hodrick–Prescott filter [PDF]
, 2017 © 2017 Elsevier B.V. This paper reconciles two widely used trend–cycle decompositions of GDP that give markedly different estimates: the correlated unobserved components model yields output gaps that are small in amplitude, whereas the Hodrick–Prescott ...
Grant, AL, Chan, JCC
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The demand for ‘active travel’: An unobserved components approach [PDF]
Journal of Transport & Health, 2016 This study informs the interface of travel demand analysis and health policy. There is a demand for cycling, walking or taking non-motorized modes together – a demand for ‘active travel’ – a term describing modes of transport which incur significant cardiovascular effort or metabolic costs.
Broadstock, David C., Collins, Alan
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Unobserved component models with asymmetric conditional variances [PDF]
Computational Statistics & Data Analysis, 2006 In this paper, unobserved component models with GARCH disturbances are extended to allow for asymmetric responses of conditional variances to positive and negative shocks. The asymmetric conditional variance is represented by a member of the QARCH class of models.
Carmen Broto, Esther Ruiz
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Fitting Time Series Models to Fisheries Data to Ascertain Age
Journal of Probability and Statistics, 2023 The ability of government agencies to assign accurate ages of fish is important to fisheries management. Accurate ageing allows for most reliable age-based models to be used to support sustainability and maximize economic benefit. Assigning age relies on
Kathleen S. Kirch +2 more
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Common Trends, Common Cycles, and Price Relationships in the International Fiber Market
Journal of Agricultural and Resource Economics, 2007 A multivariate unobserved component model was applied to identify common movements among cotton, wool, rayon, and polyester world prices. Two common stochastic trends and cycles govern the stochastic behaviors of price fluctuations in the world fiber ...
Mohamadou L. Fadiga, Sukant K. Misra
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Heliyon, 2023 The Financial Kuznets Curve (FKC) is a variant of the renowned Kuznets Curve and a counterpart to the Environmental Kuznets Curve. In this paper, we examine the financial Kuznets curve hypothesis—based on annual data for 20 developed and developing ...
Ibrahim N. Khatatbeh, Imad A. Moosa
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An analysis of land prices: A structural time‐series approach
International Journal of Strategic Property Management, 2005 This paper analyses spatio‐temporal variation of land prices in two single localities by means of structural time series modelling formalism that combines the flexibility of a time series model with that of the interpretation of a regression analysis ...
Marko Hannonen
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