A note on the extraction of components from time series
- Publication Type:
- Journal Article
- Econometrica, 1975, 43 (1), pp. 163 - 168
- Issue Date:
THIS NOTE SUGGESTS that the components models employed in [2, 3, 10, 11, 12 and 17] may be usefully analyzed within the state space framework found in the literature of control engineering. Such a formulation has the distinct advantage that a large corpus of filtering and estimation theory may then be brought to bear upon such models and has secondary benefits in the form of a greater lucidity of, and flexibility in, the exposition of the extraction problem. Further, by relating such models to a format that has widespread use in other fields, it is possible to exploit any future computational and theoretical advances therein.
Please use this identifier to cite or link to this item: