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Decomposition of time series models in state-space form

  • Godolphin, E.J.
  • Triantafyllopoulos, Kostas

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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 50 (2006)
Issue (Month): 9 (May)
Pages: 2232-2246

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Handle: RePEc:eee:csdana:v:50:y:2006:i:9:p:2232-2246
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  1. Pollock, D. S. G., 2001. "Methodology for trend estimation," Economic Modelling, Elsevier, vol. 18(1), pages 75-96, January.
  2. Durbin, James & Koopman, Siem Jan, 2001. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, number 9780198523543.
  3. Harvey, Andrew C & Fernandes, C, 1989. "Time Series Models for Count or Qualitative Observations: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(4), pages 422, October.
  4. K. Hemming & J. E. H. Shaw, 2002. "A parametric dynamic survival model applied to breast cancer survival times," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 51(4), pages 421-435.
  5. Pollock, D. S. G., 2003. "Recursive estimation in econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 37-75, October.
  6. Wesley Clair Mitchell, 1927. "Business Cycles: The Problem and Its Setting," NBER Books, National Bureau of Economic Research, Inc, number mitc27-1, December.
  7. Harvey, Andrew C & Fernandes, C, 1989. "Time Series Models for Count or Qualitative Observations," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(4), pages 407-17, October.
  8. E. J. Godolphin, 2001. "Observable trend-projecting state-space models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 28(3-4), pages 379-389.
  9. E. J. G Odolphin & S. E. Johnson, 2003. "Decomposition of Time Series Dynamic Linear Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(5), pages 513-527, 09.
  10. Triantafyllopoulos, Kostas & Pikoulas, John, 2002. "Multivariate Bayesian Regression Applied to the Problem of Network Security," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(8), pages 579-94, December.
  11. Pollock, D. S. G., 2000. "Trend estimation and de-trending via rational square-wave filters," Journal of Econometrics, Elsevier, vol. 99(2), pages 317-334, December.
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