Readings in Unobserved Components Models

ISBN: 9780199278695 出版年：2005 页码：475 Oxford University Press

SIGNAL EXTRACTION AND LIKELIHOOD INFERENCE FOR LINEAR UC MODELS 1. Introduction 2. Prediction Theory for Autoregressive-Moving Average Processes 3. Exact Initial Kalman Filtering and Smoothing for Non-stationary Time Series Models 4. Smoothing and Interpolation with the State Space Model 5. Diagnostic Checking of Unobserved Components in Time Series Models 6. Nonparametric Spline Regression with Autoregressive Moving Average Errors UNOBSERVED COMPONENTS IN ECONOMIC TIME SERIES 7. Introduction 8. Univariate Detrending Methods with Stochastic Trends 9. Detrending, Stylized Facts and the Business Cycle 10. Stochastic Linear Trends, Models and Estimators 11. Estimation and Seasonal Adjustment of Population Means Using Data from Repeated Surveys 12. The Modelling and Seasonal Adjustment of Weekly Observations TESTING IN UNOBSERVED COMPONENTS MODELS 13. Introduction 14. Testing for Deterministic Linear Trends in a Times Series 15. Are Seasonal Patterns Stable Over Time? A Test for Seasonal Stability NON-LINEAR AND NON- GAUSSIAN MODELS 16. Introduction 17. Times Series Models for Count Data or Qualitative Observations 18. On Gibbs Sampling for State Space Models 19. The Simulation Smoother 20. Likelihood Analysis of Non-Gaussian Measurement Time Series 21. Time Series Analysis of Non-Gaussian Observations based on State Space Models from both Classical and Bayesian Perspectives 22. Stochastic Volatility: Liklihood Inference and Comparison with ARCH Models 23. On Sequential Monte Carlo Sampling Methods for Bayesian Filtering