Bias-correction of Kalman filter estimators associated to a linear state space model with estimated parameters (Q286471): Difference between revisions

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+6583297
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@@ Property / zbMATH Keywords @@
+state space model
@@ Property / zbMATH Keywords: state space model / rank @@
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+Kalman filter
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+estimated parameters
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+bias-correction
@@ Property / zbMATH Keywords: bias-correction / rank @@
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+predictions bias
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+Prediction Mean Squared Error for State Space Models with Estimated Parameters
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+Resampling-based bias-corrected time series prediction
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@@ Property / cites work @@
+Parameter estimation of state space models for univariate observations
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+Q2905710
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+Confidence Intervals for the Hyperparameters in Structural Models
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+A standard error for the estimated state vector of a state-space model
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+Inferences from optimal filtering equation
@@ Property / cites work: Inferences from optimal filtering equation / rank @@
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@@ Property / cites work @@
+Bootstrap Approximation to Prediction MSE for State–Space Models with Estimated Parameters
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@@ Property / cites work @@
+Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters
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@@ Property / cites work @@
+Likelihood analysis of non-Gaussian measurement time series
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+AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
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+Conditional Markov Processes
@@ Property / cites work: Conditional Markov Processes / rank @@
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+Reml and best linear unbiased prediction in state space models
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+A State space approach to bootstrapping conditional forecasts in arma models
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+Publication:286471