Results 271 to 280 of about 26,074 (306)

Short and long memory unobserved components in hydrological time series

Physics and Chemistry of the Earth, 2006
In this paper a semiparametric approach is introduced to decompose an ARFIMA model in the long memory and short memory unobserved components. The procedure is based on the DECOMEL method which produces a statistical decomposition by minimizing the ...
Marcella Corduas, Domenico Piccolo
exaly   +2 more sources

Some of the next articles are maybe not open access.

Related searches:

An Unobserved Components Model of the Yield Curve

Journal of Money, Credit and Banking, 2010
We 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 Component Models

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

Time Series Modelling with Unobserved Components

2015
Despite 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, 2009
The 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, 2004
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +4 more sources

Cyclicality of Schooling: New Evidence from Unobserved Components Models

2020
Quelle est l’incidence variable dans le temps des cycles économiques sur les décisions d’investir dans le capital humain?
Sadaba, Barbara, Vujič, Sunčica , Maier, Sofia   +2 more
openaire   +3 more sources

Asymmetric cycles in unobserved components models [PDF]

Bulletin of Economic Research, 2003
A class of structural time series models with an asymmetric cyclical component is presented and used in order to test for asymmetry in economic time series. The asymmetric cycle is defined as a sine-cosine wave where the frequency of the cycle depends on past observations of the stochastic process being modelled.
openaire   +1 more source

State Space and Unobserved Component Models

2004
This 2004 volume offers a broad overview of developments in the theory and applications of state space modeling. With fourteen chapters from twenty-three contributors, it offers a unique synthesis of state space methods and unobserved component models that are important in a wide range of subjects, including economics, finance, environmental science ...
openaire   +1 more source

Estimating an Unobserved Component of a Serial Response Time Model

Psychometrika, 1979
A method is developed for estimating the response time distribution of an unobserved component in a two-component serial model, assuming the components are stochastically independent. The estimate of the component’s density function is constrained only to be unimodal and non-negative.
openaire   +1 more source