In this article, we consider a robust state-space filtering problem in the case that the
transition probability density is unknown and possibly degenerate. The resulting robust filter …

A parametric spectral estimation problem in the style of Byrnes, Georgiou, and Lindquist was
posed in [1], but the existence of a solution was only proved in a special case. Based on …

In a DSGE rational expectations model, the agents' assumed information sets are crucial for
both the dynamics of the solution and for whether a SVAR econometrician can infer impulse …

In the 1960s, Schroeder and Logan introduced delay line-based allpass filters, which are
still popular due to their computational efficiency and versatile applicability in artificial …

This article focuses on the parametrisation, identifiability, and (quasi-) maximum likelihood
(QML) estimation of possibly non-invertible structural vector autoregressive moving average …

How informative is a time series representation of a given vector of observables about the
structural shocks and impulse response functions in a DSGE model? In this paper we refer …

In this paper, the problem of providing a complete parametrization of the minimal spectral
factors of a discrete-time rational spectral density is considered. The desired …

This paper considers linear rational expectations models in the frequency domain under
general conditions. The paper develops necessary and sufficient conditions for existence …

This paper studies the stability of the feedback interconnection of discrete-time negative
imaginary (D-NI) systems through integral quadratic constraints (IQCs). Applying the latest …

Though there are hundreds of papers on rational spectral factorization, most of them are
concerned with full-rank spectral densities. In this paper we propose a novel approach for …