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Keyword: unobserved components model;
3 results found.
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Fabio Busetti and Andrew C Harvey
The paper considers tests for the presence of a random walk component in a stationary or trend stationary time series and extends them to series which contain structural breaks. The locally best invariant (LBI) test is d...Read more...
Andrew C Harvey and Mariane Streibel
A test for the presence of a stationary first-order autoregressive process embedded in white noise is constructed so as to be relatively powerful when the autoregressive parameter is close to one. This is done by setting...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...