Open AccessSignal Extraction for Nonstationary Multivariate Time Series with Illustrations for Trend Inflation
Author(s) -
Tucker McElroy,
Thomas Trimbur
Publication year - 2012
Publication title -
finance and economics discussion series
Language(s) - English
Resource type - Journals
eISSN - 2767-3898
pISSN - 1936-2854
DOI - 10.17016/feds.2012.45
Subject(s) - estimator , univariate , inflation (cosmology) , kalman filter , econometrics , series (stratigraphy) , multivariate statistics , cointegration , generalization , computer science , core inflation , signal (programming language) , time series , mathematics , statistics , economics , inflation targeting , monetary policy , paleontology , mathematical analysis , physics , theoretical physics , monetary economics , biology , programming language