Estimation, Prediction, and Interpolation for Nonstationary Series with the Kalman Filter

DOI10.2307/2290864zbMath0806.62076MaRDI QIDQ4305733

Víctor Gómez, Agustin Maravall

Publication date: 16 February 1995

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1814/431

zbMATH Keywords

interpolation; estimation; time series; Kalman filter; missing observations; forecasting; likelihood function; ARIMA models; state-space representation; nonstationary series; ARIMA errors; fixed point smoother; likelihood of an autoregressive integrated moving average model

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

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

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Uses Software

• AS 197