The diffuse Kalman filter

DOI10.1214/AOS/1176348139zbMATH Open0742.62093OpenAlexW1975138225MaRDI QIDQ1175397FDOQ1175397

Authors: Piet de Jong 

Publication date: 25 June 1992

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176348139

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zbMATH Keywords

smoothingnonstationaritystate space modelsstate estimationarbitrarily large covariance matrixdiffuse predictiondiffuse smoothingdiffuse statelikelihood evaluationminimum mean square estimationmodified form of the Kalman filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cited In (51)

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• Inequality Constrained State-Space Models
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• 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
• 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
• A new state-space methodology to disaggregate multivariate time series
• Dynamic factor analysis for short panels: estimating performance trajectories for water utilities
• Missing data in time series: a note on the equivalence of the dummy variable and the skipping approaches
• Leverage, heavy-tails and correlated jumps in stochastic volatility models
• Diagnosing seasonal shifts in time series using state space models
• A fast and efficient Markov chain Monte Carlo method for market microstructure model
• The ARMA model in state space form
• Extensions to the invariance property of maximum likelihood estimation for affine-transformed state-space models
• Bayesian method for causal inference in spatially-correlated multivariate time series
• A Bayesian semiparametric model for volatility with a leverage effect
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• Likelihood functions for state space models with diffuse initial conditions
• The vector innovations structural time series framework
• Forecasting daily time series using periodic unobserved components time series models
• The marginal likelihood of dynamic mixture models
• A simple smoothing spline, III
• 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
• 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
• State‐space models for multivariate longitudinal data of mixed types
• Missing observations in ARIMA models: Skipping approach versus additive outlier approach
• Estimation of common factors under cross-sectional and temporal aggregation constraints
• Estimation of affine term structure models with spanned or unspanned stochastic volatility
• 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
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• On the Model-Based Interpretation of Filters and the Reliability of Trend–Cycle Estimates
• STATIONARY AND NON-STATIONARY STATE SPACE MODELS
• Evolutionary hierarchical credibility

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