A note on minimum mean squared error estimation of signals with unit roots

DOI10.1016/0165-1889(88)90057-7zbMath0659.62109OpenAlexW2049323353MaRDI QIDQ1112522

Agustin Maravall

Publication date: 1988

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(88)90057-7

zbMATH Keywords

time seriesunit rootsnonstationary caseARIMA parametrizationWiener-Kolmogorov-Whittle filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

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Cites Work

• Seasonal Adjustment by Signal Extraction
• Signal extraction from nonstationary time series
• Signal extraction error in nonstationary time series
• An ARIMA-Model-Based Approach to Seasonal Adjustment
• Decomposition of Seasonal Time Series: A Model for the Census X-11 Program

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