The variance profile is defined as the power mean of the spectral density function of a stationary stochastic process. It is a continuous and nondecreasing function of the power parameter, <italic>p</italic>, which returns the minimum of the spectrum (<italic>p</italic>→−∞), the interpolation error variance (harmonic mean,...

An unobserved components model in which the signal is buried in noise that is non-Gaussian may throw up observations that, when judged by the Gaussian yardstick, are outliers. We describe an observation-driven model, based on a conditional Student's <italic>t</italic>-distribution, which is tractable and retains...