March 2018
Beginner to intermediate
384 pages
12h 2m
English
7.1 Nonseasonal Unobserved Components Models
7.1.1 The Nature of Unobserved Components Models
7.1.2 A Look at the PROC UCM Output
7.1.3 A Note on Unit Roots in Practice
7.1.4 The Basic Structural Model Related to ARIMA Structures
7.1.5 A Follow-Up on the Example
7.2 Diffuse Likelihood and Kalman Filter: Overview and a Simple Case
7.2.1 Diffuse Likelihood in a Simple Model
7.2.2 Definition of a Diffuse Likelihood
7.3 Seasonality in Unobserved Components Models
7.3.1 Description of Seasonal Recursions
7.3.2 Tourism Example with Regular Seasonality