Results 221 to 230 of about 24,065 (262)
Some of the next articles are maybe not open access.
Unobserved components models in economics and finance
IEEE Control Systems, 2009State-space methods permit a flexible treatment of unobserved components models. Furthermore, data irregularities such as missing observations are easily handled. For example, irregularly spaced observations can be dealt with since, as discussed in [3, Chap.
Siem Jan Koopman, Andrew Harvey
exaly +2 more sources
Readings In Unobserved Components Models
2005Abstract This book presents a collection of readings which give the reader an idea of the nature and scope of unobserved components (UC) models and the methods used to deal with them. It contains four parts, three of which concern recent theoretical developments in classical and Bayesian estimation of linear, nonlinear, and non ...
Harvey, A, PROIETTI, TOMMASO
openaire +3 more sources
2023
Abstract 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.
openaire +1 more source
Abstract 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.
openaire +1 more source
Bootstrap Prediction in Unobserved Component Models
2010One advantage of state space models is that they deliver estimates of the unobserved components and predictions of future values of the observed series and their corresponding Prediction Mean Squared Errors (PMSE). However, these PMSE are obtained by running the Kalman filter with the true parameters substituted by consistent estimates and ...
Alejandro F. Rodríguez, Esther Ruiz
openaire +1 more source
An Unobserved Components Model of the Yield Curve
Journal of Money, Credit and Banking, 2010We develop an unobserved component model in which the short‐term interest rate is composed of a stochastic trend and a stationary cycle. Using the Nelson–Siegel model of the yield curve as inspiration, we estimate an extremely parsimonious state‐space model of interest rates across time and maturity.
RICHARD STARTZ, KWOK PING TSANG
openaire +1 more source
Unobserved Components Model(s): Output Gaps and Financial Cycles
SSRN Electronic Journal, 2023The Global Financial Crisis established that policymakers should consider the stage of the financial cycle to better evaluate the cyclical position of the economy when designing monetary policy decisions. If financial variables are omitted from the estimations of the output gap, a common and unobserved indicator of the business cycle, important ...
Guillochon, Justine, Le Roux, Julien
openaire +2 more sources
2011
For many years, the problem of filtering and the extraction of component signals from noisy time series data has occupied the minds of mathematicians and statisticians from a variety of disciplines. Indeed, three of the most notablemathematicians of the Twentieth Century - Wiener (1941), Kolmogorov (1941), and Kalman (1960) - have all made central ...
openaire +1 more source
For many years, the problem of filtering and the extraction of component signals from noisy time series data has occupied the minds of mathematicians and statisticians from a variety of disciplines. Indeed, three of the most notablemathematicians of the Twentieth Century - Wiener (1941), Kolmogorov (1941), and Kalman (1960) - have all made central ...
openaire +1 more source
Time Series Modelling with Unobserved Components
2015Despite the unobserved components model (UCM) having many advantages over more popular forecasting techniques based on regression analysis, exponential smoothing, and ARIMA, the UCM is not well known among practitioners outside the academic community.
openaire +1 more source
Determinants of Demand for Exports of Tourism: An Unobserved Component Model
Tourism and Hospitality Research, 2009The present paper analyses the dynamic behaviours of the main determinants of tourism demand for France, Greece, Spain and Australia. In addition to the traditional variables affecting the demand for exports of tourism, namely price and foreign income, an unobserved component in the form of time varying trend enters the tourism equations to capture ...
ALGIERI, Bernardina, Kanellopoulou S.
openaire +2 more sources
Unobserved components models with correlated disturbances
Statistical Methods and Applications, 2004zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire +4 more sources