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...
| Príomhchruthaitheoir: | |
|---|---|
| Formáid: | IRIS |
| Teanga: | English |
| Foilsithe / Cruthaithe: |
Washington, D.C. :
International Monetary Fund,
2018.
|
| Sraith: | IMF Working Papers; Working Paper ;
No. 2018/275 |
| Rochtain ar líne: | Full text available on IMF |