On the Automatic Identification of Unobserved Components Models

DOI10.1007/978-3-030-56219-9_5MaRDI QIDQ5048329zbMATH OpenOpenAlexWikidataFDO

Authors Diego J. Pedregal, Juan R. Trapero

Publication date 16 November 2022

Published in Contributions to Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-56219-9_5

zbMATH Keywords

Kalman filtermaximum likelihoodsmoother algorithmstate-space systemsunobserved components models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• A Biometrics Invited Paper. The Analysis and Selection of Variables in Linear Regression
• Forecasting time series with complex seasonal patterns using exponential smoothing
• Forecasting with exponential smoothing. The state space approach
• scientific article; zbMATH DE number 3545060 (Why is no real title available?)
• scientific article; zbMATH DE number 5035826 (Why is no real title available?)
• scientific article; zbMATH DE number 3251902 (Why is no real title available?)
• Recursive estimation and time-series analysis. An introduction for the student and practitioner
• SSpace
• Time series analysis by state space methods.
• Time series forecasting using a hybrid ARIMA and neural network model

Cited in

(1)

• scientific article; zbMATH DE number 2230348 (Why is no real title available?)

Describes a project that uses

Uses Software

• SSpace
• Forecast
• CAPTAIN
• expsmooth
• forecast
• ElemStatLearn

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