A Kalman filter for application to stationary or non-stationary time series is proposed. A major feature is a new initialisation method to accommodate non-stationary time series. The filter works on time series with missing values at any point of time including the initialisation phase. It can...

A Kalman filter for application to stationary or non-stationary time series is proposed. A major feature is a new initialisation method to accommodate non-stationary time series. The filter works on time series with missing values at any point of time including the initialisation phase. It can...

The Beveridge-Nelson vector innovations structural time series framework is a new formulation that decomposes a set of variables into their permanent and transitory components. The proposed framework is flexible, modelling inter-series relationships and common features in a simple manner. In...