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Casals Carro, José ; Sotoca López, Sonia ; Jerez Méndez, Miguel | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1998En este trabajo se deriva un algoritmo rápido para evaluar la función de verosimilitud exacta de procesos VARMAX periódicos. Su eficiencia computacional se consigue combinando una formulación de dimensión mínima en espacio de los estados, en for[...]texto impreso
Casals Carro, José ; Jerez Méndez, Miguel ; Sotoca López, Sonia | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2000We describe a simple procedure for decomposing a vector of time series into trend, cycle, seasonal and irregular components. Contrary to common practice, we do not assume these components to be orthogonal conditional on their past. However, the [...]texto impreso
En este trabajo se presentan algunos resultados obtenidos en un estudio del sistema eléctrico peninsular. Para ello se emplea un modelo lineal de los subsistemas de producción y transporte de energía eléctrica. El modelo utilizado presenta, como[...]texto impreso
Casals Carro, José ; Jerez Méndez, Miguel ; Sotoca López, Sonia | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2006This paper shows how to compute the in-sample effect of exogenous inputs on the endogenous variables in any linear model written in state-space form. Estimating this component may be, either interesting by itself, or a previous step before decom[...]texto impreso
García Hiernaux, Alfredo ; Jerez Méndez, Miguel ; Casals Carro, José | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2005En este trabajo se propone un nuevo procedimiento para detectar raíces unitarias basado en métodos de subespacios. Nuestra propuesta tiene tres aspectos originales principales. Primero, la misma metodología puede aplicarse a series individuales [...]texto impreso
In this paper we discuss about dynamic programming models with a quadratic objetive function. An extension is suggested to relax the hypothesis of symmetric penalties. The extended model allows for a more accurate modelling of preferences.texto impreso
Casals Carro, José ; Sotoca López, Sonia ; Jerez Méndez, Miguel | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1999We propose two fast and stable methods to compute the likelihood of econometric models in state-space form, allowing for unit roots. The first one exploits the properties of the Kalman filter when applied to models in steady-state innovations fo[...]texto impreso
Hiernaux, Alfredo G. ; Casals Carro, José ; Jerez Méndez, Miguel | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2005We propose two fast, stable and consistent methods to estimate time series models expressed in their equivalent state-space form. They are useful both, to obtain adequate initial conditions for a maximum-likelihood iteration, or to provide final[...]texto impreso
Casals Carro, José ; García Hiernaux, Alfredo ; Jerez Méndez, Miguel | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2010-10Fixed coecients State-Space and VARMAX models are equivalent, meaning that they are able to represent the same linear dynamics, being indistinguishable in terms of overall fit. However, each representation can be specically adequate for certain [...]texto impreso
Casals Carro, José ; Sotoca López, Sonia ; Jerez Méndez, Miguel | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1998In this work we derive a relationship between tbe exact fixed-interval smoothed moments and those obtained from an arbitrarily initialized smoother. Combining this result witbh a conventional smoother we obtain a new algoritbm with exact initial[...]texto impreso
Terceiro Lomba, Jaime ; Casals Carro, José ; Jerez Méndez, Miguel ; Serrano García, Gregorio R. ; Sotoca López, Sonia | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2000Software reliability is a wide issue, depending not only on the use of stable implementations of well-reputed algorithms, but also on software design aspects. This philosophy is implemented in E4, a MATLAB Toolbox which uses state-space methods [...]texto impreso
Casals Carro, José ; Sotoca López, Sonia ; Jerez Méndez, Miguel | 2012-03Computing the gaussian likelihood for a nonstationary state-space model is a difficult problem which has been tackled by the literature using two main strategies: data transformation and diffuse likelihood. The data transformation approach is c[...]texto impreso
Casals Carro, José ; Jerez Méndez, Miguel ; Sotoca López, Sonia | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2006This paper discusses how to specify an observable high-frequency model for a vector of time series sampled at high and low frequencies. To this end we first study how aggregation over time affects both, the dynamic components of a time series an[...]texto impreso
This paper discusses how to specify an observable high-frequency model for a vector of time series sampled at high and low frequencies. To this end we first study how aggregation over time affects both, the dynamic components of a time series an[...]texto impreso
Jerez Méndez, Miguel ; Villalba Vila, Daniel | Facultad de Ciencias Económicas y Empresariales. Decanato | 1990In this paper we describe an integer programming model designed to solve shift assignment problems. It is the nucleus of an interactive DSS called PETS. PETS has be en applied at 'El Corte Inglés', a big commercial corporation with over 30,000 s[...]
