A note on the extraction of components from time series

Publisher:
Wiley-Blackwell
Publication Type:
Journal Article
Citation:
Econometrica, 1975, 43 (1), pp. 163 - 168
Issue Date:
1975-01
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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.
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