A robust Beveridge–Nelson decomposition using a score-driven approach with an application
证明在得分驱动位置模型下贝弗里奇-纳尔逊分解与趋势-周期分解等价，并扩展至重尾分布以得到稳健版本。
The equivalence of the Beveridge–Nelson decomposition and the trend-cycle decomposition is well established. In this paper we argue that this equivalence is almost immediate when a Gaussian score-driven location model is considered. We also provide a natural extension towards heavy-tailed distributions for the disturbances which lead to a robust version of the Beveridge–Nelson decomposition.