Likelihood functions for state space models with diffuse initial conditions

DOI10.1111/J.1467-9892.2010.00673.XMaRDI QIDQ3103195zbMATH OpenOpenAlexFDO

Authors Marc K. Francke, Siem Jan Koopman, Aart F. de Vos

Publication date 26 November 2011

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.2010.00673.x

zbMATH Keywords

Kalman filterprofile likelihoodmarginal likelihooddiffuse likelihoodmultivariate time-series models

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Recommendations

• STATE SPACE MODELS WITH DIFFUSE INITIAL CONDITIONS
• The likelihood for a state space model
• Estimation, filtering, and smoothing in state space models with incompletely specified initial conditions
• FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS
• The diffuse Kalman filter

Cites work

• scientific article; zbMATH DE number 3945130 (Why is no real title available?)
• scientific article; zbMATH DE number 3574820 (Why is no real title available?)
• scientific article; zbMATH DE number 3326882 (Why is no real title available?)
• ASYMPTOTICS OF ML ESTIMATOR FOR REGRESSION MODELS WITH A STOCHASTIC TREND COMPONENT
• Bayesian inference for variance components using only error contrasts
• Estimation of autoregressive parameters from a marginal likelihood function
• Estimation, filtering, and smoothing in state space models with incompletely specified initial conditions
• Evaluation of likelihood functions for Gaussian signals
• Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models
• FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS
• Marginal likelihood and unit roots
• Maximum Likelihood Estimation of Regression Models With Stochastic Trend Components
• ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL
• Recovery of inter-block information when block sizes are unequal
• STATIONARY AND NON-STATIONARY STATE SPACE MODELS
• The diffuse Kalman filter
• The likelihood for a state space model
• Time series analysis by state space methods

Cited in

(9)

• Minimally conditioned likelihood for a nonstationary state space model
• Estimation, filtering, and smoothing in state space models with incompletely specified initial conditions
• STATE SPACE MODELS WITH DIFFUSE INITIAL CONDITIONS
• The exact likelihood for a state space model with stochastic inputs
• Diffuse Kalman filtering with linear constraints on the state parameters
• Estimation of vector error correction models with mixed-frequency data
• Quasi-maximum likelihood estimation for non-stationary stochastic volatility models: diffuse Kalman filtering approach
• The likelihood for a state space model
• Maximum likelihood estimation of regression effects in state space models

This page was built for publication: Likelihood functions for state space models with diffuse initial conditions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3103195)