Computational Methods for Time Series Analysis

DOI10.1007/978-3-642-57489-4_2zbMath1439.62025OpenAlexW2122087381MaRDI QIDQ3298642

Genshiro Kitagawa, Seisho Sato, Tomoyuki Higuchi

Publication date: 15 July 2020

Published in: Compstat (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-57489-4_2

zbMATH Keywords

parallel computationnonlinear filteringsequential Monte Carlo methodgeneral state space modelself-organizing state space model

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• The two-filter formula for smoothing and an implementation of the Gaussian-sum smoother
• Smoothness priors analysis of time series
• Sequential Monte Carlo Methods in Practice
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Some aspects of recursive parameter estimation
• On the optimal and suboptimal nonlinear filtering problem for discrete-time systems
• Asymptotic behavior of the extended Kalman filter as a parameter estimator for linear systems
• Monte carlo filter using the genetic algorithm operators
• Nonlinear Bayesian estimation using Gaussian sum approximations
• A Monte Carlo filtering approach for estimating the term structure of interest rates

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