State Space and Unobserved Component Models: Theory and Applications 75-91 2004年1月
Abstract This paper discusses the estimation problems associated with signal plus noise models, where the signal is assumed to follow a stationary or nonstationary long-memory process, whereas the noise is assumed to be an independent process. Mor...
The measurement error problem that we consider in this paper is concerned with the situation where time series data of various kinds - short memory, long memory, and random walk processes - are contaminated by white noise. We suggest a unified app...
The measurement error problem that we consider in this paper is concerned with the situation where time series data of various kinds-short memory, long memory, and random walk processes-are contaminated by white noise. We suggest a unified approac...