STATIONARY AND NON-STATIONARY STATE SPACE MODELS

DOI10.1111/j.1467-9892.1994.tb00182.xzbMath0794.62056OpenAlexW1987078627MaRDI QIDQ4299016

Piet de Jong, Singfat Chu-Chun-Lin

Publication date: 29 June 1994

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1994.tb00182.x

zbMATH Keywords

covariance matrixKalman filterstationarityrandom walkstate space modelstime invariancenon-stationarityARIMA \((p,d,q)\) modelimmemorial timenecessary and sufficient conditions for stationarityunconditional mean

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (10)

Exact initial conditions for maximum likelihood estimation of state space models with stochastic inputs ⋮ An algorithm for the exact Fisher information matrix of vector ARMAX time series ⋮ Robust Time Series Analysis through the Forward Search ⋮ Decomposition of a state-space model with inputs ⋮ Bayesian method for causal inference in spatially-correlated multivariate time series ⋮ The exact likelihood for a state space model with stochastic inputs ⋮ On some classes of nonstationary parametric processes ⋮ Robust Transformations in Univariate and Multivariate Time Series ⋮ Likelihood functions for state space models with diffuse initial conditions ⋮ A fast and stable method to compute the likelihood of time invariant state-space models.

Cites Work

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• The diffuse Kalman filter
• Estimation, Prediction, and Interpolation for ARIMA Models with Missing Data
• Efficient generalized cross-validation for state space models
• Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering
• Intervention Analysis with Applications to Economic and Environmental Problems

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