论文标题
趋势和季节性调整模型的信息标准GIC
The Information Criterion GIC of Trend and Seasonal Adjustment Models
论文作者
论文摘要
本文提出了一种用于计算非组织状态空间模型的GIC和TIC的算法。计算GIC时对数类似物的梯度和黑森斯是通过扩展Kalman滤波器得出的差分滤波器获得的。提出了三个非组织时间序列模型的例子，即趋势模型，Statndard季节性调整模型和带有固定AR组件的季节性调整模型，以说明结构矩阵的规范。
This paper presents an algorithm for computing the GIC and the TIC of the nonstationary state-space models. The gradient and Hessian of the log-likelihood neccesary in computing the GIC are obtained by the differential filter that is derived by extending the Kalman filter. Three examples of the nonstationary time series models, i.e., the trend model, statndard seasonal adjustment model and the seasonal adjustment model with stationary AR component are presented to exemplified the specification of structural matrices.
