Decomposition of a state-space model with inputs

DOI10.1080/00949650902850573MaRDI QIDQ3012674zbMATH OpenOpenAlexFDO

Authors J. Casals, M. Jerez, S. Sotoca

Publication date 6 July 2011

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949650902850573

zbMATH Keywords

seasonal adjustmentsignal extractionstate-spacetime series decompositionLydia Pinkham

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 50653 (Why is no real title available?)
• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• scientific article; zbMATH DE number 3390604 (Why is no real title available?)
• 4SID: Subspace algorithms for the identification of combined deterministic-stochastic systems
• A fast and stable method to compute the likelihood of time invariant state-space models.
• An Exact Multivariate Model-Based Structural Decomposition
• Estimating the dimension of a model
• Intervention Analysis with Applications to Economic and Environmental Problems
• Markov-switching model selection using Kullback-Leibler divergence
• On a measure of lack of fit in time series models
• Riccati equations in optimal filtering of nonstabilizable systems having singular state transition matrices
• STATIONARY AND NON-STATIONARY STATE SPACE MODELS
• The likelihood for a state space model

Cited in

(3)

• Latent variables analysis in structural models: a new decomposition of the Kalman smoother
• Nonparametric decomposition of time series data with inputs
• On the Input-Output Representation of Piecewise Affine State Space Models

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