Recursive estimation in econometrics (Q956735)

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Recursive estimation in econometrics

scientific article; zbMATH DE number 5373897

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English	Recursive estimation in econometrics	scientific article; zbMATH DE number 5373897

Statements

instance of

scholarly article

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title

Recursive estimation in econometrics (English)

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published in

Computational Statistics and Data Analysis

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publication date

26 November 2008

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zbMATH Keywords

recursive regression

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Kalman filtering

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fixed-interval smoothing

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initial-value problem

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author

D. Stephen G. Pollock

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describes a project that uses

AS 154

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MaRDI profile type

MaRDI publication profile

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cites work

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The diffuse Kalman filter

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STABLE ALGORITHMS FOR THE STATE SPACE MODEL

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Fast likelihood evaluation and prediction for nonstationary state space models

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SMOOTHING WITH AN UNKNOWN INITIAL CONDITION

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Distribution of the Estimators for Autoregressive Time Series With a Unit Root

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Testing for Unit Roots in Seasonal Time Series

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The exact initial covariance matrix of the state vector of a general \(MA(q)\) process

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Linear Dynamic Recursive Estimation from the Viewpoint of Regresion Analysis

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Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test

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Testing for functional misspecification in regression analysis

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Seasonal integration and cointegration

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Self-tuning and stable adaptive control of a batch polymerization reactor

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A synopsis of the smoothing formulae associated with the Kalman filter

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Recursive estimation and time-series analysis. An introduction

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Identifiers

zbMATH Open document ID

1429.62692

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DOI

10.1016/S0167-9473(03)00150-6

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Recursive estimation in econometrics