search query: @author Harvey, A. C. / total: 4
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| Author: | Harvey, A. C. Peters, S. |
| Title: | Estimation procedures for structural time series models. |
| Journal: | Journal of Forecasting
1990 : MAR-APR, VOL. 9:2, p. 89-108 |
| Index terms: | TIME SERIES MODELS FORECASTING |
| Language: | eng |
| 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.The results reported were computed several years ago on a University of London mainfrance computer. The programs have now been adapted for use on an IBM personal computer. |
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