type="main" xml:id="jtsa12102-abs-0001"This article advances the theory and methodology of signal extraction by developing the optimal treatment of difference stationary multivariate time-series models. Using a flexible time-series structure that includes co-integrated processes, we derive and...

This article investigates a general class of stochastic cycles, presenting the main properties in the time and frequency domains. Harvey and Trimbur [Review of Economics and statistics (2003) Vol. 85, pp. 244-55] showed how generalized cyclical processes may be used in unobserved components...