A two-step state space time series modeling method

DOI10.1016/0898-1221(89)90087-4zbMATH Open0666.62085OpenAlexW1977350402MaRDI QIDQ1116605

S. H. Smith

Publication date: 1989

Published in: Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0898-1221(89)90087-4

zbMATH Keywords

time series modelsstate space methoddynamic aggregationsingular value decomposition of the Hankel matrixtwo step sequential procedure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Title not available (Why is that?)
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• Notes on economic time series analysis: system theoretic perspectives
• An instrumental variables interpretation of linear systems theory estimation
• Martingales and Stochastic Integrals

Related Items (2)

Analysis of US real GNP and unemployment interactions. State space approach ⋮ State space methods in asset pricing

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