The formulation of structural time series models in discrete and continuous time.

Título inglés	The formulation of structural time series models in discrete and continuous time.
Título español	La formulación de modelos de series temporales estructurales en tiempo discreto y continuo.
Autor/es	Harvey, Andrew C.
Organización	Dep. Stat. London Sch. Econ. Univ. London, Londres, Reino Unido
Revista	0210-8054
Publicación	1983, 7 (4): 563-575, 25 Ref.
Tipo de documento	articulo
Idioma	Inglés
Resumen inglés	This paper sets out an approach for modelling univariate time series, including those in which observations are available on a daily basis. An underlying continuous time model is formulated and it is shown that this model has important implications for the way in which a discrete model is set up. It is also shown that the continuous time model allows observations subject to temporal aggregation and irregularly spaced observations to be handled relatively easily. The extension to cases where explanatory variables are to be included in the model is also discussed.
Clasificación UNESCO	120915
Palabras clave español	Series temporales ; Predicción ; Filtro Kalman ; Máxima verosimilitud
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