MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION

By Tucker S. McElroy. Econometric Theory, 2008

57 citations recorded by the source corpus.

Subfields: Applied Mathematics, Economics and Econometrics, Statistical and Nonlinear Physics

View Paper: https://www.semanticscholar.org/paper/c6f85339f59cae5f45ed39c0589e296587b50109

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Applied Mathematics

1. Peter Maass

In Economics and Econometrics

1. Theodore Alexandrov
2. Silvia Bianconcini
3. Peter Maass
4. Tucker S. McElroy
5. E. Dagum

In Statistical and Nonlinear Physics

1. Peter Maass

Citations in the corpus

• A Review of Some Modern Approaches to the Problem of Trend Extraction (2012, background): “Note that the SSF smoother is a linear operation on the data F that produces a vector of trend estimates T ; the linear matrix that accomplishes this is derived in McElroy (2008).”