Penalized likelihood smoothing in robust state space models.

DOI10.1007/S001840050007zbMath1093.62572OpenAlexW2057764457MaRDI QIDQ5953763

Ludwig Fahrmeir, Rita Künstler

Publication date: 29 January 2002

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: http://nbn-resolving.de/urn:nbn:de:bvb:19-epub-1500-3

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (6)

Recursive maximum likelihood estimation with \(t\)-distribution noise model ⋮ Function estimation with locally adaptive dynamic models ⋮ Multivariate dynamic model for ordinal outcomes ⋮ Bayesian-type count data models with varying coefficients: estimation and testing in the presence of overdispersion ⋮ Robust inversion, dimensionality reduction, and randomized sampling ⋮ Online monitoring with local smoothing methods and adaptive ridging

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