← All authors Siem Jan Koopman Vrije Universiteit Amsterdam (from arXiv:2606.22483, 2026) · ORCID · OpenAlex
142 papers in scope · 141 published · 1 on the econ.EM arXiv · 10,002 citations · h-index 54 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Tengyuan Liang Sanjog Misra Xinwei Ma Michael Jansson Max H. Farrell Matias D. Cattaneo Susan Athey Guido W. Imbens Victor Chernozhukov Rocío Titiunik Whitney K. Newey Sebastián Calónico Christian Hansen James M. Robins Alexandre Belloni Vasilis Syrgkanis Gonzalo Vázquez-Baré Yingjie Feng Stefan Wager Nicolás Idrobo Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 142)
working paper 2026 · arXiv
Identifying trend reversals in atmospheric ethane from a multi-site analysis
published 2026 · Climatic Change
Score-driven time-varying parameter models with spline-based densities
published 2026 · Statistics and Computing
with Janneke van Brummelen, Paolo Gorgi
Extremum Monte Carlo Filters: Signal Extraction via Simulation and Regression
published 2026 · Journal of Business and Economic Statistics · 3 citations · first circulated 2023
with Karim Moussa, Francisco Blasques
Measuring Growth Spillovers
published 2025 · Oxford Bulletin of Economics and Statistics
with F. Blasques, P. Gorgi, James Sampi
A Statistical Reduced Complexity Climate Model for Probabilistic Analyses and Projections
published 2025 · Journal of Climate · first circulated 2024
A Novel Test for the Presence of Local Explosive Dynamics
published 2025 · Journal of Time Series Analysis · 2 citations
Conditional Score Residuals and Diagnostic Analysis of Serial Dependence in Time Series Models
published 2025 · Journal of Business and Economic Statistics · 1 citations · first circulated 2021
with Francisco Blasques, P. Gorgi, Paolo Gorgi
Time-varying correlations in multivariate unobserved components time series models
published 2024 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 1 citations
Asymmetric stable stochastic volatility models: estimation, filtering, and forecasting
published 2024 · Journal of Time Series Analysis · 1 citations
with Francisco Blasques, Karim Moussa
Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices
published 2024 · Econometric Reviews · 2 citations · first circulated 2021
Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors
published 2024 · Journal of Econometrics · 2 citations · first circulated 2021
with Paolo Gorgi, Julia Schaumburg
A robust Beveridge–Nelson decomposition using a score-driven approach with an application
published 2024 · Economics Letters
with F. Blasques, J. van Brummelen, P. Gorgi
Observation-driven filtering of time-varying parameters using moment conditions
published 2024 · Journal of Econometrics · 3 citations
with Drew Creal, André Lucas, Marcin Zamojski
Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions
published 2023 · Journal of Econometrics · 11 citations
with Francisco Blasques, J. van Brummelen, Paolo Gorgi
Time-Varying Parameters in Econometrics: The editor’s foreword
published 2023 · Journal of Econometrics · 2 citations
with F. Blasques, A.C. Harvey, André Lucas
A multivariate dynamic statistical model of the global carbon budget 1959–2020
published 2023 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 15 citations
Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects
published 2021 · Journal of Econometrics · 9 citations · first circulated 2020
with P. Gorgi
Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies*
published 2021 · Oxford Bulletin of Economics and Statistics · 11 citations
with Jasper de Winter, Irma Hindrayanto
Estimation of final standings in football competitions with a premature ending: the case of COVID-19
published 2021 · AStA Advances in Statistical Analysis · 8 citations · first circulated 2020
with P. Gorgi, Rutger Lit, Paolo Gorgi
Maximum likelihood estimation for score-driven models
published 2021 · Journal of Econometrics · 22 citations
with Francisco Blasques, Janneke van Brummelen, André Lucas
Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction
published 2021 · Journal of Applied Econometrics · 6 citations · first circulated 2018
with Mengheng Li
Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data
published 2021 · International Journal of Forecasting · 14 citations · first circulated 2020
with Francisco Blasques, Meindert Heres Hoogerkamp, Ilka van de Werve
Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors
published 2021 · Energy Economics · 41 citations
Missing observations in observation-driven time series models
published 2020 · Journal of Econometrics · 5 citations · first circulated 2018
with Francisco Blasques, P. Gorgi, Paolo Gorgi
Partially censored posterior for robust and efficient risk evaluation
published 2020 · Journal of Econometrics · 6 citations · first circulated 2019
with Agnieszka Borowska, Lennart F. Hoogerheide, Herman K. van Dijk
Nonlinear autoregressive models with optimality properties
published 2019 · Econometric Reviews · 11 citations
with Francisco Blasques, André Lucas
The dynamic factor network model with an application to international trade
published 2019 · Journal of Econometrics · 16 citations
with Falk Bräuning
Multiyear Statistical Prediction of ENSO Enhanced by the Tropical Pacific Observing System
published 2019 · Journal of Climate · 23 citations
with Desislava Petrova, Joan Ballester, Xavier Rodó
Long-term forecasting of El Niño events via dynamic factor simulations
published 2019 · Journal of Econometrics · 11 citations
with Mengheng Li, Rutger Lit, Desislava Petrova
The Analysis and Forecasting of Tennis Matches by using a High Dimensional Dynamic Model
published 2019 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 30 citations · first circulated 2018
with P. Gorgi, Rutger Lit, Paolo Gorgi
Accelerating score-driven time series models
published 2019 · Journal of Econometrics · 10 citations
with Francisco Blasques, P. Gorgi
Forecasting football match results in national league competitions using score-driven time series models
published 2019 · International Journal of Forecasting · 57 citations · first circulated 2017
with Rutger Lit
Forecasting economic time series using score-driven dynamic models with mixed-data sampling
published 2019 · International Journal of Forecasting · 22 citations · first circulated 2018
with Paolo Gorgi, Mengheng Li
Dynamic discrete copula models for high‐frequency stock price changes
published 2018 · Journal of Applied Econometrics · 44 citations
with Rutger Lit, André Lucas, Anne Opschoor
Amendments and Corrections
published 2018 · Biometrika · 5 citations
with Francisco Blasques, André Lucas
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model*
published 2018 · Journal of Financial Econometrics · 54 citations · first circulated 2016
Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
published 2018 · Electronic Journal of Statistics · 66 citations · first circulated 2016
with Francisco Blasques, Paolo Gorgi, Olivier Wintenberger, P Gorgi, O Wintenberger
A Time-Varying Parameter Model for Local Explosions
published 2018 · Journal of Econometrics · 1 citations
with Francisco Blasques, Marc Nientker
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes*
published 2018 · Journal of Financial Econometrics · 3 citations · first circulated 2016
with István Barra, Agnieszka Borowska
Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model
published 2017 · Journal of the American Statistical Association · 50 citations
with Rutger Lit, André Lucas
Spillover dynamics for systemic risk measurement using spatial financial time series models
published 2016 · Journal of Econometrics · 129 citations · first circulated 2014
with Francisco Blasques, André Lucas, Julia Schaumburg
Testing for Parameter Instability across Different Modeling Frameworks
published 2016 · Journal of Financial Econometrics · 13 citations
with Francesco Calvori, Drew Creal, André Lucas
Forecasting and nowcasting economic growth in the euro area using factor models
published 2016 · International Journal of Forecasting · 33 citations
with Irma Hindrayanto, Jasper de Winter
Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models
published 2016 · Journal of Applied Econometrics · 7 citations · first circulated 2014
with István Barra, Lennart F. Hoogerheide, André Lucas
Empirical Bayes Methods for Dynamic Factor Models
published 2016 · The Review of Economics and Statistics · 10 citations · first circulated 2014
with Geert Mesters
Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area
published 2016 · Economics Letters · 88 citations
with Gabriele Galati, Irma Hindrayanto, Marente Vlekke
Rejoinder to the discussion “In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation-Driven Models”
published 2016 · International Journal of Forecasting
with Francisco Blasques, Katarzyna Łasak, André Lucas
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
published 2016 · Journal of Econometrics · 21 citations
with Francisco Blasques, Max Mallee, Z. Zhang
Global Credit Risk: World, Country and Industry Factors
published 2016 · Journal of Applied Econometrics · 39 citations · first circulated 2015
with Bernd Schwaab, André Lucas
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
published 2016 · International Journal of Forecasting · 44 citations · first circulated 2015
with Francisco Blasques, Katarzyna Łasak, André Lucas
Intervention time series analysis of crime rates: The case of sentence reform in Virginia
published 2016 · Economic Modelling · 27 citations · first circulated 2003
with Sunčica Vujić, Jacques J.F. Commandeur, Sanjeev Sridharan, Swetha Sridharan, Jacques Commandeur
The information in systemic risk rankings
published 2016 · Journal of Empirical Finance · 58 citations · first circulated 2015
with Federico Nucera, Bernd Schwaab, André Lucas
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
published 2015 · The Review of Economics and Statistics · 44 citations · first circulated 2012
with André Lucas, Marcel Scharth
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
published 2015 · Econometric Reviews · 23 citations · first circulated 2011
with Geert Mesters, Marius Ooms
Information-theoretic optimality of observation-driven time series models for continuous responses
published 2015 · Biometrika · 169 citations · first circulated 2014
with F. Blasques, André Lucas, Francisco Blasques
Structural Time Series Models
published 2014 · Wiley StatsRef: Statistics Reference Online · 145 citations · first circulated 1996
with Andrew Harvey, Jasper de Winter, Irma Hindrayanto, Anjali Chouhan
State‐Space Methods
published 2014 · Wiley StatsRef: Statistics Reference Online · first circulated 2006
Long memory dynamics for multivariate dependence under heavy tails
published 2014 · Journal of Empirical Finance · 17 citations · first circulated 2011
with P. Janus, André Lucas
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models
published 2014 · Journal of Business and Economic Statistics · 50 citations · first circulated 2005
with André Lucas, Marcel Scharth, Rutger Lit, Thuy Minh Nguyen, Borus Jungbacker
CFEnetwork: The Annals of Computational and Financial Econometrics
published 2014 · Computational Statistics & Data Analysis
Generalized dynamic panel data models with random effects for cross-section and time
published 2014 · Journal of Econometrics · 13 citations · first circulated 2012
with Geert Mesters
Likelihood‐based dynamic factor analysis for measurement and forecasting
published 2014 · Econometrics Journal · 90 citations
with Borus Jungbacker
Stationarity and ergodicity of univariate generalized autoregressive score processes
published 2014 · Electronic Journal of Statistics · 52 citations · first circulated 2012
with Francisco Blasques, André Lucas, Francisco Blasquez
Nowcasting and forecasting global financial sector stress and credit market dislocation
published 2013 · International Journal of Forecasting · 16 citations
with Bernd Schwaab, André Lucas, Dislocation Schwaab
Forecasting interest rates with shifting endpoints
published 2013 · Journal of Applied Econometrics · 60 citations · first circulated 2012
with Dick van Dijk, Michel van der Wel, Jonathan H. Wright
Forecasting macroeconomic variables using collapsed dynamic factor analysis
published 2013 · International Journal of Forecasting · 62 citations · first circulated 2012
with Falk Bräuning
SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES
published 2013 · Journal of Applied Econometrics · 9 citations · first circulated 2011
with Borus Jungbacker, Michel van der Wel
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk
published 2013 · The Review of Economics and Statistics · 119 citations · first circulated 2010
with Drew Creal, Bernd Schwaab, André Lucas
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model
published 2013 · International Journal of Forecasting · 34 citations · first circulated 2011
with Michel van der Wel
Long memory with stochastic variance model: A recursive analysis for US inflation
published 2012 · Computational Statistics & Data Analysis · 20 citations
with Charles S. Bos, Marius Ooms
Economic Trends and Cycles in Crime: A Study for England and Wales
published 2012 · Jahrbücher für Nationalökonomie und Statistik · 1 citations
with Sunčica Vujić, Jacques Commandeur, Jacques J.F. Commandeur
The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures
published 2012 · Journal of Financial Econometrics · 79 citations · first circulated 2011
with Marcel Scharth
Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008
published 2012 · Journal of Business and Economic Statistics · 65 citations
with André Lucas, Bernd Schwaab
Modelling trigonometric seasonal components for monthly economic time series
published 2012 · Applied Economics · 6 citations · first circulated 2010
with Irma Hindrayanto, John A. D. Aston, Marius Ooms
The Annals of Computational and Financial Econometrics, first issue
published 2012 · Computational Statistics & Data Analysis
Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing
published 2012 · Journal of Financial Econometrics · 26 citations · first circulated 2009
with Charles S. Bos, P. Janus
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS
published 2012 · Journal of Applied Econometrics · 1007 citations
with Drew Creal, André Lucas
A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League
published 2012 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 17 citations
with Rutger Lit
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
published 2011 · Journal of Business and Economic Statistics · 299 citations · first circulated 2009
with Drew Creal, André Lucas
Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling
published 2011 · Computational Statistics & Data Analysis · 56 citations
with V. Dordonnat, Marius Ooms
Maximum likelihood estimation for dynamic factor models with missing data
published 2011 · Journal of Economic Dynamics and Control · 105 citations
with Borus Jungbacker, Michel van der Wel
Modeling frailty-correlated defaults using many macroeconomic covariates
published 2011 · Journal of Econometrics · 123 citations · first circulated 2009
with André Lucas, Bernd Schwaab
Statistical Software for State Space Methods
published 2011 · Journal of Statistical Software · 71 citations
with Jacques J.F. Commandeur, Marius Ooms
Kalman filtering and smoothing for model‐based signal extraction that depend on time‐varying spectra
published 2010 · Journal of Forecasting · 3 citations
with Soon Yip Wong
Likelihood functions for state space models with diffuse initial conditions
published 2010 · Journal of Time Series Analysis · 27 citations · first circulated 2006
with Marc Francke, A.F. Vos, Aart de Vos
Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments
published 2010 · International Journal of Forecasting · 1 citations
with Marius Ooms
Exact maximum likelihood estimation for non-stationary periodic time series models
published 2010 · Computational Statistics & Data Analysis · 17 citations
with Irma Hindrayanto, Marius Ooms
Extracting a robust US business cycle using a time‐varying multivariate model‐based bandpass filter
published 2010 · Journal of Applied Econometrics · 50 citations · first circulated 2008
with Drew Creal, Eric Zivot
Intra-daily smoothing splines for time-varying regression models of hourly electricity load
published 2010 · The Journal of Energy Markets · 6 citations
with V. Dordonnat, Marius Ooms
Unobserved components models in economics and finance
published 2009 · IEEE Control Systems · 43 citations
with Andrew Harvey
Multivariate Non-Linear Time Series Modelling of Exposure and Risk in Road Safety Research
published 2009 · Journal of the Royal Statistical Society Series C (Applied Statistics) · 17 citations
with F D Bijleveld, Jacques J.F. Commandeur, Kees van Montfort
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters
published 2009 · Journal of Business and Economic Statistics · 161 citations · first circulated 2007
with Max Mallee, Michel van der Wel, Time-Varying Parameters
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment*
published 2009 · Oxford Bulletin of Economics and Statistics · 10 citations · first circulated 2006
with Marius Ooms, Irma Hindrayanto
Seasonality with Trend and Cycle Interactions in Unobserved Components Models
published 2009 · Journal of the Royal Statistical Society Series C (Applied Statistics) · 21 citations · first circulated 2008
with Kai Ming Lee
Testing the assumptions behind importance sampling
published 2008 · Journal of Econometrics · 111 citations · first circulated 2002
An hourly periodic state space model for modelling French national electricity load
published 2008 · International Journal of Forecasting · 150 citations · first circulated 2007
with V. Dordonnat, Marius Ooms, Alain Dessertaine, Jérôme Collet
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
published 2008 · Journal of Business and Economic Statistics · 66 citations · first circulated 2003
with André Lucas, Robert J. Daniels
Credit cycles and macro fundamentals
published 2008 · Journal of Empirical Finance · 127 citations · first circulated 2006
with Roman Kräussl, André Lucas, André B. Monteiro
Model-Based Measurement of Latent Risk in Time Series with Applications
published 2008 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 29 citations · first circulated 2005
with F D Bijleveld, Jacques J.F. Commandeur, Phillip Gould
Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model
published 2007 · Statistica Neerlandica · 9 citations
with Marius Ooms, André Lucas, Kees van Montfort, Victor van der Geest
Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US*
published 2007 · Oxford Bulletin of Economics and Statistics · 73 citations
with João Valle e Azevedo
Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models
published 2007 · Biometrika · 97 citations
with Borus Jungbacker
The multi-state latent factor intensity model for credit rating transitions
published 2007 · Journal of Econometrics · 141 citations · first circulated 2005
with André Lucas, André A. Monteiro
Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods
published 2007 · Journal of Business and Economic Statistics · 120 citations
with Albert J. Menkveld, André Lucas
Periodic Seasonal Reg-ARFIMA–GARCH Models for Daily Electricity Spot Prices
published 2007 · Journal of the American Statistical Association · 255 citations · first circulated 2005
with Marius Ooms, M. Angeles Carnero
An Introduction to State Space Time Series Analysis
published 2007 · OUP Catalogue · 231 citations
with Jacques J.F. Commandeur
no link
Special Issue on Nonlinear Modelling and Financial Econometrics
published 2006 · Computational Statistics & Data Analysis · 9 citations
Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models
published 2006 · Econometric Reviews · 33 citations
with Borus Jungbacker
Tracking the Business Cycle of the Euro Area
published 2006 · Journal of Business and Economic Statistics · 90 citations · first circulated 2003
with João Valle e Azevedo, António Rua
A non-Gaussian generalization of the Airline model for robust seasonal adjustment
published 2006 · Journal of Forecasting · 14 citations
with John A. D. Aston
Forecasting daily time series using periodic unobserved components time series models
published 2005 · Computational Statistics & Data Analysis · 57 citations · first circulated 2004
with Marius Ooms
Empirical credit cycles and capital buffer formation
published 2005 · Journal of Banking & Finance · 88 citations · first circulated 2002
with André Lucas, Pieter Klaassen
Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements
published 2005 · Journal of Empirical Finance · 554 citations · first circulated 2004
with Borus Jungbacker, Eugenie M. J. H. Hol, Eugenie Hol Uspensky
Business and default cycles for credit risk
published 2005 · Journal of Applied Econometrics · 174 citations · first circulated 2003
with André Lucas
Convergence in European GDP series: a multivariate common converging trend–cycle decomposition
published 2004 · Journal of Applied Econometrics · 58 citations · first circulated 2003
with Rob Luginbuhl
State Space Models With a Common Stochastic Variance
published 2004 · Journal of Business and Economic Statistics · 63 citations
with Charles S. Bos
Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers
published 2004 · Studies in Nonlinear Dynamics and Econometrics · 24 citations
with Kai Ming Lee
Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices
published 2004 · Econometric Society 2004 Australasian Meetings · 19 citations · first circulated 2003
with Marius Ooms, M. Angeles Carnero
Time Series Modelling of Daily Tax Revenues
published 2003 · Statistica Neerlandica · 2 citations · first circulated 1999
with Marius Ooms, Björn de Groot
Computing observation weights for signal extraction and filtering
published 2003 · Journal of Economic Dynamics and Control · 150 citations · first circulated 2000
with Andrew Harvey
Filtering and smoothing of state vector for diffuse state‐space models
published 2003 · Journal of Time Series Analysis · 91 citations
with J. Durbin
Constructing Seasonally Adjusted Data with Time‐varying Confidence Intervals*
published 2002 · Oxford Bulletin of Economics and Statistics · 27 citations · first circulated 2001
with Philip Hans Franses
The stochastic volatility in mean model: empirical evidence from international stock markets
published 2002 · Journal of Applied Econometrics · 199 citations
with Eugenie Hol Uspensky
Discussion of ‘MCMC‐based inference’ by R. Paap
published 2002 · Statistica Neerlandica · 1 citations
Interaction between structural and cyclical shocks in production and employment
published 2001 · Review of World Economics · 2 citations
with F.A.G. den Butter
Signal extraction and the formulation of unobserved components models
published 2000 · Econometrics Journal · 129 citations · first circulated 1999
with Andrew Harvey
Fast Filtering and Smoothing for Multivariate State Space Models
published 2000 · Journal of Time Series Analysis · 155 citations · first circulated 1998
with J. Durbin
Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
published 2000 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 387 citations
with J. Durbin
Statistical algorithms for models in state space using SsfPack 2.2
published 1999 · Econometrics Journal · 482 citations · first circulated 1998
Estimation of stochastic volatility models via Monte Carlo maximum likelihood
published 1998 · Journal of Econometrics · 339 citations
with Gleb Sandmann
Forecasting daily electricity demand using splines
published 1998 · Mathematicae notae · 1 citations
with F Gordon
no link
Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models
published 1997 · Journal of the American Statistical Association · 153 citations
Detecting shocks: Outliers and breaks in time series
published 1997 · Journal of Econometrics · 54 citations
The Modeling and Seasonal Adjustment of Weekly Observations
published 1997 · Journal of Business and Economic Statistics · 80 citations
with Andrew Harvey, Marco Riani
Stamp 5.0 Structural Time Series Analyser, Modeller and Predictor.
published 1996 · The Economic Journal · 195 citations
Structural time series models in medicine
published 1996 · Statistical Methods in Medical Research · 16 citations
with Andrew Harvey
Forecasting Hourly Electricity Demand Using Time-Varying Splines
published 1993 · Journal of the American Statistical Association · 241 citations
with Andrew Harvey
Disturbance smoother for state space models
published 1993 · Biometrika · 207 citations
Exact Score for Time Series Models in State Space Form
published 1992 · Biometrika · 39 citations
Diagnostic Checking of Unobserved-Components Time Series Models
published 1992 · Journal of Business and Economic Statistics · 206 citations
with Andrew Harvey
Miscellanea
published 1992 · Biometrika · 83 citations
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