New Zealand Statistical Association
2004 Conference

Invited Plenary Talk

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Andrew Harvey
Faculty of Economics and Politics, University of Cambridge

Signal Extraction

The presentation will discuss signal extraction in unobserved components time series models. Topics covered will include: classical (Wiener-Kolmogorov) filter and its application to structural time series models; state space form and smoothing algorithms; continuous time models and nonparametric approaches to signal extraction; nonlinear and non-Gaussian models.

KEYWORDS: Canonical decomposition; Kernels; State space; Unobserved components.