Readings in unobserved components models (Oxford University Press, 2005)
Includes bibliographical references and indexes
PART ONE: SIGNAL EXTRACTION AND LIKELIHOOD INFERENCE FOR LINEAR UC MODELS -- - Prediction theory for autoregressive-moving average processes - Peter Burridge - Kenneth F. Wallis -- - Exact initial Kalman filtering and smoothing for nonstationary time series models - Siem Jan Koopman -- - Smoothing and interpolation with the state-space model - Piet De Jong -- - Diagnostic checking of unobserved-components time series models - Andrew C. Harvey - Siem Jan Koopman -- - Nonparametric spline regression with autoregressive moving average errors - Robert Kohn ... [et al.] -- - PART TWO: UNOBSERVED COMPONENTS IN ECONOMIC TIME SERIES -- - Univariate detrending methods with stochastic trends - Mark W. Watson -- - Detrending, stylized facts and the business cycle - A.C. Harvey - A. Jaeger -- - Stochastic linear trends: models and estimators - Augustín Maravall -- - Estimation and seasonal adjustment of population means using data from repeated surveys
Danny Pfeffermann -- - The modeling and seasonal adjustment of weekly observations - Andrew Harvey ... [et al.] -- - PART THREE: TESTING IN UNOBSERVED COMPONENTS MODELS -- - Testing for deterministic linear trend in time series - Jukka Nyblom -- - Are seasonal patterns constant over time? A test for seasonal stability - Fabio Canova - Bruce E. Hansen -- - PART FOUR: NON-LINEAR AND NON-GAUSSIAN MODELS -- - Time series models for count or qualitative observations - A.C. Harvey - C. Fernandes -- - On Gibbs sampling for state space models - C.K. Carter - R. Kohn -- - The simulation smoother for time series models - Piet De Jong - Neil Shephard -- - Likelihood analysis of non-Gaussian measurement time series - Neil Shephard - Michael K. Pitt -- - Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives - J. Durbin - S.J. Koopman -- - On sequential Monte Carlo sampling methods for Bayesian filtering. Arnaud Doucet ... [et al.]