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An improved state space representation for cyclical time series.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Published
<mark>Journal publication date</mark>2000
<mark>Journal</mark>Biometrika
Issue number3
Volume87
Number of pages3
Pages (from-to)724-726
Publication StatusPublished
<mark>Original language</mark>English

Abstract

We consider a commonly used two-state model for a cyclical time series and show how a particular specification of its observation vector allows maximum generality of the range of model spectra.