Estimation procedures for structural time series models

Journal of Forecasting - Tập 9 Số 2 - Trang 89-108 - 1990
A. C. Harvey1, Simon Peters2
1Department of Statistics, London School of Economics, Houghton St., London WC2A 2AE
2Department of Econometrics, Monash University, Clayton, Victoria 3 168, Australia

Tóm tắt

AbstractA univariate structural time series model based on the traditional decomposition into trend, seasonal and irregular components is defined. A number of methods of computing maximum likelihood estimators are then considered. These include direct maximization of various time domain likelihood function. The asymptotic properties of the estimators are given and a comparison between the various methods in terms of computational efficiency and accuracy is made. The methods are then extended to models with explanatory variables.

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