Parameter estimation of state space models for univariate observations
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Publication:963880
DOI10.1016/j.jspi.2010.01.036zbMath1185.62165MaRDI QIDQ963880
Publication date: 14 April 2010
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2010.01.036
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P12: Applications of statistics to environmental and related topics
62M05: Markov processes: estimation; hidden Markov models
Related Items
Bias-correction of Kalman filter estimators associated to a linear state space model with estimated parameters, Parametric estimation of hidden Markov models by least squares type estimation and deconvolution
Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- Bayesian forecasting and dynamic models
- Dynamic Generalized Linear Models and Bayesian Forecasting
- Posterior Mode Estimation by Extended Kalman Filtering for Multivariate Dynamic Generalized Linear Models
- Likelihood analysis of non-Gaussian measurement time series
- A state space model for rub-off triangles
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