Reduced Rank Vector Exponential Smoothing

The single source of error state space Vector Simple Exponential Smoothing model is introduced. A hypothesis free two-stage methodology that detects and defines the reduced rank of a smoothing matrix is proposed. A singular value decomposition of the smoothing matrix forms the basis of both stages

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Year of publication:	2004-08-11
Authors:	Silva, Ashton de
Institutions:	Econometric Society
Subject:	Vector Exponential Smoothing \| singular value decomposition \| information criterion \| state space models

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Series:	Econometric Society 2004 Australasian Meetings.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Econometric Society Australasian Meetings 2004 Number 246
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005342136