Estimation, Prediction, and Interpolation for Nonstationary Series with the Kalman Filter (Q4305733): Difference between revisions
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Latest revision as of 19:41, 19 March 2024
scientific article; zbMATH DE number 639266
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation, Prediction, and Interpolation for Nonstationary Series with the Kalman Filter |
scientific article; zbMATH DE number 639266 |
Statements
Estimation, Prediction, and Interpolation for Nonstationary Series with the Kalman Filter (English)
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16 February 1995
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likelihood function
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time series
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likelihood of an autoregressive integrated moving average model
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missing observations
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estimation
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forecasting
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ARIMA models
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state-space representation
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Kalman filter
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fixed point smoother
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interpolation
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nonstationary series
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ARIMA errors
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