A Closed Form Multivariate Linear Filter

A Closed Form Multivariate Linear Filter
This paper considers the problem of jointly decomposing a set of time series variables into cyclical and trend components, subject to sets of stochastic linear restrictions among these cyclical and trend components. We derive a closed form solution to an ordinary problem featuring homogeneous penalty term difference orders and static... READ MORE...

Publication date: December 2018
ISBN 9781484388785
$18.00

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