Recommendations
- scientific article; zbMATH DE number 130625
- Diffuse Kalman filtering with linear constraints on the state parameters
- Diffusion Kalman Filtering Based on Covariance Intersection
- Computational aspects of kalman filtering with a diffuse prior distribution*
- The Kalman-Lévy filter
- Diffusion Maps Kalman Filter for a Class of Systems With Gradient Flows
- scientific article; zbMATH DE number 755283
- Diffusion Strategies for Distributed Kalman Filtering and Smoothing
Cited in
(51)- Improved frequency selective filters
- Evolutionary hierarchical credibility
- Estimability of the linear effects in state space models with an unknown initial condition
- Nonparametric smoothing using state space techniques
- An iterated parametric approach to nonstationary signal extraction
- Forecasting key macroeconomic variables from a large number of predictors: a state space approach
- Bayesian tail risk interdependence using quantile regression
- Marginal likelihood and unit roots
- Modelling \& controlling monetary and economic identities with constrained state space models
- Minimally conditioned likelihood for a nonstationary state space model
- Reml and best linear unbiased prediction in state space models
- Predictability, real time estimation, and the formulation of unobserved components models
- Realized stochastic volatility with leverage and long memory
- Dynamic factor analysis for short panels: estimating performance trajectories for water utilities
- A new state-space methodology to disaggregate multivariate time series
- Leverage, heavy-tails and correlated jumps in stochastic volatility models
- Missing data in time series: a note on the equivalence of the dummy variable and the skipping approaches
- Diagnosing seasonal shifts in time series using state space models
- The ARMA model in state space form
- A fast and efficient Markov chain Monte Carlo method for market microstructure model
- Bayesian method for causal inference in spatially-correlated multivariate time series
- A Bayesian semiparametric model for volatility with a leverage effect
- Extensions to the invariance property of maximum likelihood estimation for affine-transformed state-space models
- Likelihood functions for state space models with diffuse initial conditions
- scientific article; zbMATH DE number 7750679 (Why is no real title available?)
- Forecasting daily time series using periodic unobserved components time series models
- The marginal likelihood of dynamic mixture models
- A simple smoothing spline, III
- The vector innovations structural time series framework
- STATE SPACE MODELS WITH DIFFUSE INITIAL CONDITIONS
- State space mixed models for longitudinal observations with binary and binomial responses
- Recursive estimation in econometrics
- Efficient Bayesian estimation of multivariate state space models
- Diffuse Kalman filtering with linear constraints on the state parameters
- Inequality Constrained State-Space Models
- Filtering and smoothing algorithms for state space models
- Nonlinear regime-switching state-space (RSSS) models
- INITIALIZATION OF THE KALMAN FILTER WITH PARTIALLY DIFFUSE INITIAL CONDITIONS
- Exact maximum likelihood estimation for non-stationary periodic time series models
- Signal extraction and filtering by linear semiparametric methods
- Missing observations in ARIMA models: Skipping approach versus additive outlier approach
- State‐space models for multivariate longitudinal data of mixed types
- Estimation of affine term structure models with spanned or unspanned stochastic volatility
- Estimation of common factors under cross-sectional and temporal aggregation constraints
- Diffuse Restricted Kalman Filtering
- Trend estimation and de-trending via rational square-wave filters
- Multivariate temporal disaggregation with cross-sectional constraints
- Restricted Kalman filter applied to dynamic style analysis of actuarial funds
- scientific article; zbMATH DE number 1805876 (Why is no real title available?)
- On the Model-Based Interpretation of Filters and the Reliability of Trend–Cycle Estimates
- STATIONARY AND NON-STATIONARY STATE SPACE MODELS
This page was built for publication: The diffuse Kalman filter
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1175397)