Recursive estimation in econometrics (Q956735): Difference between revisions

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+Q3993534
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+A geometrical derivation of the fixed interval smoothing algorithm
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+Estimation, filtering, and smoothing in state space models with incompletely specified initial conditions
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+A structured state space approach to computing the likelihood of an ARIMA process and its derivatives
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+FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS
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+Theory and applications of selftuning regulators
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+INITIALIZING THE KALMAN FILTER FOR NONSTATIONARY TIME SERIES MODELS
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+On the Theory of Testing for Unit Roots in Observed Time Series
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+Q4137964
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+Q4082864
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+Seasonal Adjustment by Signal Extraction
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+Convergence analysis of the least-squares identification algorithm with a variable forgetting factor for time-varying linear systems
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+Decomposition of Seasonal Time Series: A Model for the Census X-11 Program
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+The likelihood for a state space model
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+A cross-validation filter for time series models
@@ Property / cites work: A cross-validation filter for time series models / rank @@
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+Smoothing and Interpolation with the State-Space Model
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+The diffuse Kalman filter
@@ Property / cites work: The diffuse Kalman filter / rank @@
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+STABLE ALGORITHMS FOR THE STATE SPACE MODEL
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+Fast likelihood evaluation and prediction for nonstationary state space models
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+SMOOTHING WITH AN UNKNOWN INITIAL CONDITION
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+Distribution of the Estimators for Autoregressive Time Series With a Unit Root
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+Testing for Unit Roots in Seasonal Time Series
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+The exact initial covariance matrix of the state vector of a general \(MA(q)\) process
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+Exact maximum-likelihood estimation of autoregressive models via the Kalman filter
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+Recursive stability analysis of linear regression relationships. An exploratory methodology
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+Linear Dynamic Recursive Estimation from the Viewpoint of Regresion Analysis
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+Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test
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+Q2760417
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+Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering
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+Q4120006
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+Q4002943
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+Testing for functional misspecification in regression analysis
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+An ARIMA-Model-Based Approach to Seasonal Adjustment
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+Seasonal integration and cointegration
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+Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
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+Self-tuning and stable adaptive control of a batch polymerization reactor
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+Estimation, Prediction, and Interpolation for ARIMA Models with Missing Data
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+A fast algorithm for signal extraction, influence and cross-validation in state space models
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+Disturbance smoother for state space models
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+Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models
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+Statistical algorithms for models in state space using SsfPack 2.2
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+Testing for Structural Change in Dynamic Models
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+Tests for changes in models with a polynomial trend
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+The generalized fluctuation test: A unifying view
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+Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
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+Convergence analysis of recursive identification algorithms with forgetting factor
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+A survey of data smoothing for linear and nonlinear dynamic systems
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+Algorithm AS 197: A Fast Algorithm for the Exact Likelihood of Autoregressive-Moving Average Models
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+A synopsis of the smoothing formulae associated with the Kalman filter
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+The determination of the state covariance matrix of moving-average processes without computation
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+Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes
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+Time Series Regression with a Unit Root
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+SOME THEOREMS IN LEAST SQUARES
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+A new test for structural stability in the linear regression model
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+Q4953890
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+Trend estimation and de-trending via rational square-wave filters
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+Improved frequency selective filters
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+Evaluation of likelihood functions for Gaussian signals
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+Recursive and rolling regression-based tests of the seasonal unit root hypothesis
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+Computational aspects of kalman filtering with a diffuse prior distribution<sup>*</sup>
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+Q3803965
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+On the Use of Incomplete Prior Information in Regression Analysis
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+Q5626055
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+Recursive estimation and time-series analysis. An introduction
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+Variable forgetting factors in parameter estimation
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