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Bayesian Inference of State Space Models with Flexible Covariance Matrix Rank: Applications for Inflation Modeling

Uzeda Garcia, Luis Henrique

Description

After the introductory chapter, this thesis comprises two further chapters. The main chapters in this dissertation, i.e., chapters 2 and 3 are presented in essay format, each with an independent introduction and conclusion. The contents of these individual chapters are outlined below. Chapter 2 studies the forecasting implications of specifying unobserved components (UC) models with different state correlation structures. While implications for signal...[Show more]

CollectionsOpen Access Theses
Date published: 2017
Type: Thesis (PhD)
URI: http://hdl.handle.net/1885/118192

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