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Discussion Paper
Recursive estimation and modelling of nonstationary and nonlinear time series
This paper presents a unified approach to nonlinear and nonstationary time-series analysis for a fairly wide class of linear time variable parameter (TVP) or nonlinear systems. The method theory exploits recursive filtering and fixed interval smoothing algorithms to derive TVP linear model approximations to the nonlinear or nonstationary stochastic system, on the basis of data obtained from the system during planned experiments or passive monitoring exercises. This TVP model includes the State Dependent type of Model (SDM) as a special case, and two particular SDM forms, due to Priestly and ...
Discussion Paper
A systems approach to recursive economic forecasting and seasonal adjustment
The paper discusses a new, fully recursive approach to the adaptive modeling, forecasting and seasonal adjustment of nonstationary economic time-series. The procedure is based around a time variable parameter (TVP) version of the well known component or structural model. It employs a novel method of sequential spectral decomposition (SSD), based on recursive state-space smoothing, to decompose the series into a number of quasi-orthogonal components. This SSD procedure can be considered as a complete approach to the problem of model identification and estimation, or it can be used as a first ...