Casting vector time series: algorithms for forecasting, imputation, and signal extraction
Author:
Affiliation:
1. Research and Methodology Directorate U.S. Census Bureau, 4600 Silver Hill Road, Washington, D.C. 20233
Publisher
Institute of Mathematical Statistics
Subject
Statistics and Probability,Statistics, Probability and Uncertainty
Reference29 articles.
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3. Bell, W. and Hillmer, S. (1991) Initializing the Kalman filter for nonstationary time series models. Journal of Time Series Analysis 12(4), 283–300.
4. Bujosa, M., Bujosa, A. and Garcı, A. (2015) Mathematical framework for pseudo-spectra of linear stochastic difference equations. IEEE Transactions on Signal Processing 63(24), 6498–6509.
5. Christiano, L.J. and Fitzgerald, T.J. (2003) The band pass filter. International economic review 44(2), 435–465.
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