Filtering and smoothing of state vector for diffuse state-space models

DOI10.1111/1467-9892.00294zbMath1023.62096OpenAlexW3125943827MaRDI QIDQ4431629

Siem Jan Koopman, J. Durbin

Publication date: 22 October 2003

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00294

zbMATH Keywords

smoothingKalman filterdiffuse initialization

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Inference from spatial processes (62M30)

Related Items (12)

Diffuse Kalman filtering with linear constraints on the state parameters ⋮ State space models for time series with patches of unusual observations ⋮ Minimally conditioned likelihood for a nonstationary state space model ⋮ Temporal disaggregation using multivariate structural time series models ⋮ Restricted Kalman filter applied to dynamic style analysis of actuarial funds ⋮ Maximum likelihood estimation for dynamic factor models with missing data ⋮ EVOLUTIONARY HIERARCHICAL CREDIBILITY ⋮ Robust Transformations in Univariate and Multivariate Time Series ⋮ Repeated surveys and the Kalman filter ⋮ Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models ⋮ Diffuse Restricted Kalman Filtering ⋮ SMOOTHING WITH AN UNKNOWN INITIAL CONDITION

Cites Work

• Unnamed Item

This page was built for publication: Filtering and smoothing of state vector for diffuse state-space models