scientific article
From MaRDI portal
Publication:3790504
zbMath0646.62079MaRDI QIDQ3790504
Publication date: 1983
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
regulationprojectiontrendsmultivariate processesprediction problemfinite sampledeterministic componentsinfinite sampleLeast-square approximationaccumulated processesdeviations from stationaritysemi-infinite sample
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Estimation and detection in stochastic control theory (93E10) Research exposition (monographs, survey articles) pertaining to statistics (62-02)
Related Items (41)
Sharp filters for short sequences ⋮ Selecting an optimal model for forecasting the volumes of railway goods transportation ⋮ Trend–Cycle Decompositions with Correlated Components ⋮ Whittle estimation of EGARCH and other exponential volatility models ⋮ Combining endogenous and exogenous variables in a special case of non-parametric time series forecasting model ⋮ Forecasting trends with asset prices ⋮ Spectral utility, Wiener-Hopf techniques, and rational expectations ⋮ Dynamic consistency of insurance contracts under enforcement by exclusion ⋮ Solving generalized multivariate linear rational expectations models ⋮ WIENER–KOLMOGOROV FILTERING, FREQUENCY-SELECTIVE FILTERING, AND POLYNOMIAL REGRESSION ⋮ ALGORITHMS FOR ESTIMATION OF POSSIBLY NONSTATIONARY VECTOR TIME SERIES ⋮ Multiple partial adjustment of portfolios under rational expectations ⋮ Adaptive method for indirect identification of the statistical properties of random fields in a Bayesian framework ⋮ Smoothing Time Series with Local Polynomial Regression on Time ⋮ Fast approximate likelihood evaluation for stable VARFIMA processes ⋮ Invertible and non-invertible information sets in linear rational expectations models ⋮ The Chow-Lin method extended to dynamic models with autocorrelated residuals ⋮ Optimal forecast combinations under general loss functions and forecast error distributions ⋮ How equilibrium prices reveal information in a time series model with disparately informed, competitive traders ⋮ Some recent developments in stochastic volatility modelling ⋮ Improved frequency selective filters ⋮ Introduction to the special issue on statistical signal extraction and filtering ⋮ Restricted perception equilibria and rational expectation equilibrium ⋮ The Variance Profile ⋮ ON THE SPECTRAL PROPERTIES OF MATRICES ASSOCIATED WITH TREND FILTERS ⋮ Improved inference for moving average disturbances in nonlinear regression models ⋮ The Hodrick--Prescott filter, the Slutzky effect, and the distortionary effect of filters ⋮ Wiener–Kolmogorov Filtering and Smoothing for Multivariate Series With State–Space Structure ⋮ Electrocardiogram classification using delay differential equations ⋮ A method for approximate representation of vector-valued time series and its relation to two alternatives ⋮ Real time estimation in local polynomial regression, with application to trend-cycle analysis ⋮ On the Model-Based Interpretation of Filters and the Reliability of Trend–Cycle Estimates ⋮ Partial quantile regression ⋮ A multivariate preconditioned conjugate gradient approach for maximum likelihood estimation in vector long memory processes ⋮ Signal extraction and filtering by linear semiparametric methods ⋮ Distortionary effects of the optimal Hodrick--Prescott filter ⋮ Pooling forecasts in linear rational expectations models ⋮ Fast Bayesian estimation for VARFIMA processes with stable errors ⋮ Policy Improvement and the Newton-Raphson Algorithm ⋮ Trend estimation and de-trending via rational square-wave filters ⋮ A frequency domain algorithm for maximum likelihood estimation of gaussian fields
This page was built for publication: