Skip to main content
Author: Siem Jan Koopman
4 results found.
Return to Latest Publications
Andrew C Harvey, Siem Jan Koopman and J Penzer
Many series are subject to data irregularities such as missing values, outliers, structural breaks and irregular spacing. Data can also be messy, and hence difficult to handle by standard procedures, when they are intrin...Read more...
Andrew C Harvey and Siem Jan Koopman
Much of economic analysis presupposes that certain economic time series can be decomposed into trends and cycles. Structural time series models are explicitly set up in terms of such unobserved components. This paper set...Read more...
Andrew C Harvey, Siem Jan Koopman and Marco Riani
A number of important economic time series are recorded on a particular day every week. Seasonal adjustment of such series is difficult because the number of weeks varies between 52 and 53 and the position of the recordi...Read more...
Siem Jan Koopman and N.G. Shephard
The score vector for a time series model which fits into the Gaussian state space form can be approximated by numerically differentiating the log-likelihood. If the parameter vector is of length p, this involves the runn...Read more...