2026-06-28T15:31:00Zhttps://docta.ucm.es/rest/oai/request

oai:docta.ucm.es:20.500.14352/642352023-11-14T07:22:20Zcom_20.500.14352_14col_20.500.14352_17

An exact multivariate model-based structural decomposition Casals Carro, José Jerez Méndez, Miguel Sotoca López, Sonia We describe a simple procedure for decomposing a vector of time series into trend, cycle, seasonal and irregular components. Contrary to common practice, we do not assume these components to be orthogonal conditional on their past. However, the state-space representation employed assures that their smoothed estimates converge to exact values, with null variances and covariances. Among ather implications, this means that the components are not revised when the sample increases. The practical application of the method is illustrated both with simulated and real data. 2023-06-21T01:38:36Z 2023-06-21T01:38:36Z 2000 technical report https://hdl.handle.net/20.500.14352/64235 http://www.ucm.es/icae eng Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE) https://creativecommons.org/licenses/by-nc-sa/3.0/es/ open access Atribución-NoComercial-CompartirIgual 3.0 España Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)