Signal Extraction for Non‐Stationary Multivariate Time Series with Illustrations for Trend Inflation

DOI10.1111/jtsa.12102zbMath1320.62202OpenAlexW3151396296MaRDI QIDQ5177972

Thomas M. Trimbur, Tucker S. McElroy

Publication date: 9 March 2015

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

Full work available at URL: https://doi.org/10.1111/jtsa.12102

zbMATH Keywords

common trendsfiltersco-integrationunobserved componentsmultivariate modelsstochastic trends

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Statistical aspects of information-theoretic topics (62B10)

Related Items (2)

Signal Extraction for Non‐Stationary Multivariate Time Series with Illustrations for Trend Inflation ⋮ Casting vector time series: algorithms for forecasting, imputation, and signal extraction

Cites Work

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• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Signal Extraction for Non‐Stationary Multivariate Time Series with Illustrations for Trend Inflation
• Wiener–Kolmogorov Filtering and Smoothing for Multivariate Series With State–Space Structure

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