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Journal of Statistical Computation and Simulation Volume 79, 2009 - Issue 2
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Original Articles

Fast estimation methods for time-series models in state–space form

Alfredo Garcia-Hiernaux Departamento de Fundamentos del Análisis Económico II, Facultad de Ciencias Económicas, Campus de Somosaguas, Universidad Computensede Madrid, 28223, Madrid, SpainCorrespondence[email protected]
,
José Casals Departamento de Fundamentos del Análisis Económico II, Facultad de Ciencias Económicas, Campus de Somosaguas, Universidad Computensede Madrid, 28223, Madrid, Spain
&
Miguel Jerez Departamento de Fundamentos del Análisis Económico II, Facultad de Ciencias Económicas, Campus de Somosaguas, Universidad Computensede Madrid, 28223, Madrid, Spain
Pages 121-134 | Received 02 Mar 2007, Published online: 05 Dec 2008

Citations (10)

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Read on this site (2)

Nicolás Bonino-Gayoso & Alfredo Garcia-Hiernaux. (2021) TF-MIDAS: a transfer function based mixed-frequency model. Journal of Statistical Computation and Simulation 91:10, pages 1980-2017.
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Alfredo García-Hiernaux, Miguel Jerez & José Casals. (2010) Unit roots and cointegration modelling through a family of flexible information criteria. Journal of Statistical Computation and Simulation 80:2, pages 173-189.
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Articles from other publishers (8)

Alfredo Garcia-Hiernaux, Jose Casals & Miguel Jerez. (2023) Identification of canonical models for vectors of time series: a subspace approach. Statistical Papers.
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Conrado Brum-Civelli & Alfredo Garcia-Hiernaux. (2023) An indicator of monetary bias for emerging and partially dollarized economies: The case of Uruguay. International Review of Economics & Finance 85, pages 206-219.
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Nicolas Bonino-Gayoso & Alfredo Garcia-Hiernaux. 2023. Theory and Applications of Time Series Analysis. Theory and Applications of Time Series Analysis 135 153 .
Rodrigo Mulero & Alfredo García-Hiernaux. (2021) Forecasting Spanish unemployment with Google Trends and dimension reduction techniques. SERIEs 12:3, pages 329-349.
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Tanja Krone, Casper J. Albers & Marieke E. Timmerman. (2015) A comparative simulation study of AR(1) estimators in short time series. Quality & Quantity 51:1, pages 1-21.
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Zoltán Szabó, Barnabás Póczos & András Lőrincz. (2012) Separation theorem for independent subspace analysis and its consequences. Pattern Recognition 45:4, pages 1782-1791.
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Alfredo García-Hiernaux. (2011) Forecasting linear dynamical systems using subspace methods. Journal of Time Series Analysis 32:5, pages 462-468.
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Alfredo Garcca-Hiernaux, Joss Casals & Miguel Jerez. (2015) Identification of Canonical Models for Vectors of Time Series: A Subspace Approach. SSRN Electronic Journal.
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