Computational Methods for Time Series Analysis

DOI10.1007/978-3-642-57489-4_2MaRDI QIDQ3298642zbMATH OpenOpenAlexFDO

Authors Genshiro Kitagawa, Tomoyuki Higuchi, Seisho Sato

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)

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Cites work

• scientific article; zbMATH DE number 44406 (Why is no real title available?)
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• A Monte Carlo filtering approach for estimating the term structure of interest rates
• Asymptotic behavior of the extended Kalman filter as a parameter estimator for linear systems
• Monte carlo filter using the genetic algorithm operators
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Nonlinear Bayesian estimation using Gaussian sum approximations
• On the optimal and suboptimal nonlinear filtering problem for discrete-time systems
• Sequential Monte Carlo Methods in Practice
• Smoothness priors analysis of time series
• Some aspects of recursive parameter estimation
• The two-filter formula for smoothing and an implementation of the Gaussian-sum smoother

Cited in

(3)

• Computational aspects of sequential Monte Carlo filter and smoother
• Ensemble smoothers for inference of hidden states and parameters in combinatorial regulatory model
• scientific article; zbMATH DE number 3252904 (Why is no real title available?)

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