John Haywood; Granville Tunnicliffe Wilson

An Improved state space representation for cyclical time series

Authors

John Haywood
Granville Tunnicliffe Wilson

Keywords:

Seasonal time series, cyclical time series, state space representation, model flexibility

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.

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Published

1999-01-01

How to Cite

Haywood, J., & Wilson, G. T. (1999). An Improved state space representation for cyclical time series. School of Management Working Papers, 1–10. Retrieved from https://ojs.victoria.ac.nz/somwp/article/view/7248