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What is Periodic Unobserved Component Models about?

This document discusses periodic unobserved component time series models for modeling seasonal time series data. It compares standard non-periodic structural time series models to periodic univariate and multivariate unobserved component models. The paper explores these periodic models in the context of estimation, diagnostic checking, and forecasting using existing software. It illustrates the methodology by applying various models to quarterly time series data on UK energy demand.

Author

PushkarAgrawal

Language

EN