The Beveridge-Nelson Decomposition: A Different Perspective with New Results

DOI10.1111/1467-9892.00154zbMath0934.62091OpenAlexW2148626259MaRDI QIDQ4939814

Jörg Breitung, Víctor Gómez

Publication date: 1 March 2000

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/61306

zbMATH Keywords

Kalman filterBeveridge-Nelson decompositionsignal extractionWiener-Kolmogorov filterseasonal ARIMA models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal detection and filtering (aspects of stochastic processes) (60G35)

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The Relationship Between the Beveridge–Nelson Decomposition and Exponential Smoothing ⋮ Trend and cycle decomposition of Markov switching (co)integrated time series

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