unobserved-components

StateSpaceModels.jl is a Julia package for time-series analysis using state-space models.

Replication code for "A Model of the Fed's View on Inflation".

Aplicación de distintos modelos de series temporales a las salidas de pasajeros del Aeropuerto de Menorca.

Replication code for "Analysing inflation with semi-structural models".

Unobserved Components Model (UCM) (Harvey (1989)) performs a time series decomposition into components such as trend, seasonal, cycle, and the regression effects due to predictor series.

Bayesian unobserved components models for US trend inflation, the output gap and trend output growth, with quarterly updated estimates.