The formulation of structural time series models in discrete and continuous time.

Harvey, Andrew C.. "The formulation of structural time series models in discrete and continuous time.." Qüestiió 7.4 (1983): 563-575. <http://eudml.org/doc/40016>.

@article{Harvey1983,
abstract = {This paper sets out an approach for modelling univariate time series, including those in which observations are available on a daily basis. An underlying continuous time model is formulated and it is shown that this model has important implications for the way in which a discrete model is set up. It is also shown that the continuous time model allows observations subject to temporal aggregation and irregularly spaced observations to be handled relatively easily. The extension to cases where explanatory variables are to be included in the model is also discussed.},
author = {Harvey, Andrew C.},
journal = {Qüestiió},
keywords = {Series temporales; Predicción; Filtro Kalman; Máxima verosimilitud},
language = {eng},
number = {4},
pages = {563-575},
title = {The formulation of structural time series models in discrete and continuous time.},
url = {http://eudml.org/doc/40016},
volume = {7},
year = {1983},
}

TY - JOUR
AU - Harvey, Andrew C.
TI - The formulation of structural time series models in discrete and continuous time.
JO - Qüestiió
PY - 1983
VL - 7
IS - 4
SP - 563
EP - 575
AB - This paper sets out an approach for modelling univariate time series, including those in which observations are available on a daily basis. An underlying continuous time model is formulated and it is shown that this model has important implications for the way in which a discrete model is set up. It is also shown that the continuous time model allows observations subject to temporal aggregation and irregularly spaced observations to be handled relatively easily. The extension to cases where explanatory variables are to be included in the model is also discussed.
LA - eng
KW - Series temporales; Predicción; Filtro Kalman; Máxima verosimilitud
UR - http://eudml.org/doc/40016
ER -