Structural time series models and the Kalman filter: A concise review
Autor(a) principal: | |
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Data de Publicação: | 2009 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/11569 |
Resumo: | The continued increase in availability of economic data in recent years and, more importantly, the possibility to construct larger frequency time series, have fostered the use (and development) of statistical and econometric techniques to treat them more accurately. This paper presents an exposition of structural time series models by which a time series can be decomposed as the sum of a trend, seasonal and irregular components. In addition to a detailled analysis of univariate speci fications we also address the SUTSE multivariate case and the issue of cointegration. Finally, the recursive estimation and smoothing by means of the Kalman filter algorithm is described taking into account its different stages, from initialisation to parameter s estimation. |
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Structural time series models and the Kalman filter: A concise reviewSUTSECointegrationARIMASmoothingLikelihoodThe continued increase in availability of economic data in recent years and, more importantly, the possibility to construct larger frequency time series, have fostered the use (and development) of statistical and econometric techniques to treat them more accurately. This paper presents an exposition of structural time series models by which a time series can be decomposed as the sum of a trend, seasonal and irregular components. In addition to a detailled analysis of univariate speci fications we also address the SUTSE multivariate case and the issue of cointegration. Finally, the recursive estimation and smoothing by means of the Kalman filter algorithm is described taking into account its different stages, from initialisation to parameter s estimation.Nova SBERUNJalles, João Tovar2014-03-13T10:49:11Z2009-062009-06-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10362/11569enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:46:06Zoai:run.unl.pt:10362/11569Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:20:21.784644Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Structural time series models and the Kalman filter: A concise review |
title |
Structural time series models and the Kalman filter: A concise review |
spellingShingle |
Structural time series models and the Kalman filter: A concise review Jalles, João Tovar SUTSE Cointegration ARIMA Smoothing Likelihood |
title_short |
Structural time series models and the Kalman filter: A concise review |
title_full |
Structural time series models and the Kalman filter: A concise review |
title_fullStr |
Structural time series models and the Kalman filter: A concise review |
title_full_unstemmed |
Structural time series models and the Kalman filter: A concise review |
title_sort |
Structural time series models and the Kalman filter: A concise review |
author |
Jalles, João Tovar |
author_facet |
Jalles, João Tovar |
author_role |
author |
dc.contributor.none.fl_str_mv |
RUN |
dc.contributor.author.fl_str_mv |
Jalles, João Tovar |
dc.subject.por.fl_str_mv |
SUTSE Cointegration ARIMA Smoothing Likelihood |
topic |
SUTSE Cointegration ARIMA Smoothing Likelihood |
description |
The continued increase in availability of economic data in recent years and, more importantly, the possibility to construct larger frequency time series, have fostered the use (and development) of statistical and econometric techniques to treat them more accurately. This paper presents an exposition of structural time series models by which a time series can be decomposed as the sum of a trend, seasonal and irregular components. In addition to a detailled analysis of univariate speci fications we also address the SUTSE multivariate case and the issue of cointegration. Finally, the recursive estimation and smoothing by means of the Kalman filter algorithm is described taking into account its different stages, from initialisation to parameter s estimation. |
publishDate |
2009 |
dc.date.none.fl_str_mv |
2009-06 2009-06-01T00:00:00Z 2014-03-13T10:49:11Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/11569 |
url |
http://hdl.handle.net/10362/11569 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Nova SBE |
publisher.none.fl_str_mv |
Nova SBE |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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