Chair, Statistics Department and Frank B. Baird Jr., Professor of Science. Professor of Economics and Professor of Statistics
Martingale unobserved component models
Shephard, Neil. 2015. “Martingale unobserved component models.” Unobserved Components and Time Series Econometrics, edited by Siem Jan Koopman and Neil Shephard, 218-249. Oxford: Oxford University Press.