Estimation procedures for structural time series models
- 1 March 1990
- journal article
- research article
- Published by Wiley in Journal of Forecasting
- Vol. 9 (2) , 89-108
- https://doi.org/10.1002/for.3980090203
Abstract
A univariate structural time series model based on the traditional decomposition into trend, seasonal and irregular components is defined. A number of methods of computing maximum likelihood estimators are then considered. These include direct maximization of various time domain likelihood function. The asymptotic properties of the estimators are given and a comparison between the various methods in terms of computational efficiency and accuracy is made. The methods are then extended to models with explanatory variables.Keywords
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