Prediction and forecasting in linear models with measurement error

DOI10.1016/J.JSPI.2009.05.010MaRDI QIDQ730825zbMATH OpenOpenAlexFDO

Authors Yorghos Tripodis, John P. Buonaccorsi

Publication date 1 October 2009

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2009.05.010

zbMATH Keywords

Kalman filtermeasurement errorstate-space modelsparameter uncertainty

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• Analysis of Repeated Surveys Using Time Series Methods
• Computing observation weights for signal extraction and filtering
• Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models
• Measurement Error in Linear Autoregressive Models
• Measurement Error in a Random Walk Model with Applications to Population Dynamics
• Prediction Mean Squared Error for State Space Models with Estimated Parameters
• Smoothing and Interpolation with the State-Space Model

Cited in

(7)

• Linear prediction error methods for stochastic nonlinear models
• Erratum to: ``Two filtering methods of forecasting linear and nonlinear dynamics of intensive longitudinal data
• Prediction of values of variables in linear measurement error model
• scientific article; zbMATH DE number 5258494 (Why is no real title available?)
• scientific article; zbMATH DE number 4054857 (Why is no real title available?)
• Sensitivity analysis of error-contaminated time series data under autoregressive models with the application of COVID-19 data
• A pseudo-penalized quasi-likelihood approach to the spatial misalignment problem with non-normal data

Describes a project that uses

Uses Software

• Ox
• SsfPack

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