Estimation Procedures for Structural Time Series Models

A univariate structural time series model based on the traditional decomposition into trend, seasonal and irregular components is defined. A number of methods of computing maximum likelihood estimators are then considered. These include direct maximization of various time domain likelihood function. The asymptotic properties of the estimators are given and a comparison between the various methods in terms of computational efficiency and accuracy is made. The methods are then extended to models with explanatory variables. Ktv WORDS Structural time series model Forecasting Kalman filter Stochastic trend Unobserved components model EM algorithm

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