TY  - RPRT
AU  - Casals Carro, José
AU  - Jerez Méndez, Miguel
AU  - Sotoca López, Sonia
PY  - 2006
UR  - https://hdl.handle.net/20.500.14352/56637
AB  - This paper discusses how to specify an observable high-frequency model for a vector of time series sampled at high and low frequencies. To this end we first study how aggregation over time affects both, the dynamic components of a time series and...
LA  - eng
A3  - Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
KW  - State-space models
KW  - Kalman filter
KW  - Temporal disaggregation
KW  - Observability
KW  - Seasonality
TI  - Modelling an forecasting time series sampled at different frequencies
TY  - technical report
VL  - 2006
ER  -