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An improved state space representation for cyclical time series.

Haywood, J. and Tunnicliffe Wilson, G. (2000) An improved state space representation for cyclical time series. Biometrika, 87 (3). pp. 724-726. ISSN 1464-3510

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Abstract

We consider a commonly used two-state model for a cyclical time series and show how a particular specification of its observation vector allows maximum generality of the range of model spectra.

Item Type: Article
Journal or Publication Title: Biometrika
Uncontrolled Keywords: model flexibility ; seasonal time series ; state space representation
Subjects: Q Science > QA Mathematics
Departments: Faculty of Science and Technology > Mathematics and Statistics
ID Code: 19344
Deposited By: ep_ss_importer
Deposited On: 20 Nov 2008 14:31
Refereed?: Yes
Published?: Published
Last Modified: 26 Jul 2012 15:28
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/19344

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