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Signal extraction and the formulation of unobserved components models

Harvey, Andrew and Koopman, Siem Jan

Signal extraction and the formulation of unobserved components models J5045 2000 - 2000 - 84-107 V. 03 Issue. 1

Subjects--Topical Terms:
Econometrics

Subjects--Index Terms: Cubic splines;Kalman Filter and Smoother;Kernels;Robustness;Structural time series model;Trend;Wiener kolmogorov filter;

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