Nonparametric smoothing using state space techniques

DOI10.2307/3316049MaRDI QIDQ2738918zbMATH OpenOpenAlexFDO

Authors Patrick E. Brown, Piet de Jong

Publication date 3 July 2003

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/2cc0e8716e1caafb6ed8644daa5fbdf7ab9ed693

zbMATH Keywords

diffuse random vectorsfavoured modelKalman filter smootherlocally best invariant testspenalized least squaresReinsch algorithmsmoothationspline smoothing

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• A cross-validation filter for time series models
• A fast algorithm for signal extraction, influence and cross-validation in state space models
• A stochastic framework for recursive computation of spline functions. II: Smoothing splines
• Diagnosing Shocks in Time Series
• Estimation, filtering, and smoothing in state space models with incompletely specified initial conditions
• scientific article; zbMATH DE number 3978140 (Why is no real title available?)
• scientific article; zbMATH DE number 3980241 (Why is no real title available?)
• scientific article; zbMATH DE number 45848 (Why is no real title available?)
• scientific article; zbMATH DE number 3633568 (Why is no real title available?)
• scientific article; zbMATH DE number 842531 (Why is no real title available?)
• Nonparametric spline regression with prior information
• Penalized regression with model-based penalties
• SEASONAL ADJUSTMENT BY A BAYESIAN MODELING
• Smoothing and Interpolation with the State-Space Model
• Smoothing by spline functions.
• Some results on Tchebycheffian spline functions and stochastic processes
• SPLINE FUNCTIONS AND THE PROBLEM OF GRADUATION
• That BLUP is a good thing: The estimation of random effects. With comments and a rejoinder by the author
• The diffuse Kalman filter
• The Signal Extraction Approach to Nonlinear Regression and Spline Smoothing
• Variable Selection and Function Estimation in Additive Nonparametric Regression Using a Data-Based Prior

Cited in

(11)

• Signal extraction and filtering by linear semiparametric methods
• Smoothing non-Gaussian time series with autoregressive structure.
• Penalized likelihood estimation and iterative Kalman smoothing for non-Gaussian dynamic regression models
• Frequentist conditional variance for nonlinear mixed-effects models
• Smoothing a time series by segments of the data range
• Smoothing and Interpolation with the State-Space Model
• A Recursive Recomputation Approach for Smoothing in Nonlinear State–Space Modeling: An Attempt for Reducing Space Complexity
• scientific article; zbMATH DE number 775743 (Why is no real title available?)
• Non-linear state smoothing for discrete dynamic systems with past histories
• Penalized likelihood smoothing in robust state space models.
• Smoothing algorithms for state-space models

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