A cross-validation filter for time series models

DOI10.1093/biomet/75.3.594zbMath0651.62089OpenAlexW1973547045MaRDI QIDQ3796596

Piet de Jong

Publication date: 1988

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/75.3.594

zbMATH Keywords

Kalman filtersmoothing filterfixed interval smoothingcross- validation filtercross- validation of state space modelscross-validation errorsdeleted residualsDiffuse initial conditions

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)

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Bayesian forecasting with a regime-switching zero-inflated multilevel Poisson regression model: an application to adolescent alcohol use with spatial covariates ⋮ FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS ⋮ Filtering and smoothing algorithms for state space models ⋮ Nonparametric smoothing using state space techniques ⋮ Forecasting the US unemployment rate ⋮ Recursive estimation in econometrics ⋮ STABLE ALGORITHMS FOR THE STATE SPACE MODEL ⋮ A note on low-dimensional Kalman smoothers for systems with lagged states in the measurement equation ⋮ Signal extraction and filtering by linear semiparametric methods ⋮ Estimation of stochastic volatility models via Monte Carlo maximum likelihood ⋮ A synopsis of the smoothing formulae associated with the Kalman filter

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