A Closed Form Multivariate Linear Filter /
This paper considers the problem of jointly decomposing a set of time series variables into cyclical and trend components, subject to sets of stochastic linear restrictions among these cyclical and trend components. We derive a closed form solution to an ordinary problem featuring homogeneous penalt...
| Egile nagusia: | |
|---|---|
| Formatua: | Aldizkaria |
| Hizkuntza: | English |
| Argitaratua: |
Washington, D.C. :
International Monetary Fund,
2018.
|
| Saila: | IMF Working Papers; Working Paper ;
No. 2018/275 |
| Sarrera elektronikoa: | Full text available on IMF |