Computing Observation Weights for Signal Extraction and Filtering
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- Koopman, Siem Jan & Harvey, Andrew, 2003. "Computing observation weights for signal extraction and filtering," Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1317-1333, May.
References listed on IDEAS
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- Koopman, S.J.M. & Shephard, N. & Doornik, J.A., 1998. "Statistical Algorithms for Models in State Space Using SsfPack 2.2," Other publications TiSEM 8fe36759-6517-4c66-86fa-e, Tilburg University, School of Economics and Management.
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- Harvey, A.C. & Koopman, S.J.M., 1999. "Signal Extraction and the Formulation of Unobserved Components Models," Other publications TiSEM 44688527-92c9-4c46-ac53-f, Tilburg University, School of Economics and Management.
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