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...
| 1. autor: | |
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| Format: | Czasopismo |
| Język: | English |
| Wydane: |
Washington, D.C. :
International Monetary Fund,
2018.
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| Seria: | IMF Working Papers; Working Paper ;
No. 2018/275 |
| Dostęp online: | Full text available on IMF |