A note on implementing the Durbin and Koopman simulation smoother

DOI10.1016/J.CSDA.2015.05.001MaRDI QIDQ1663187zbMATH OpenOpenAlexFDO

Authors Marek Jarociński

Publication date 21 August 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/154300

zbMATH Keywords

state space modelsimulation smoothertrend output

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A simple and efficient simulation smoother for state space time series analysis
• Time series analysis by state space methods.

Cited in

(3)

• Precision-based sampling for state space models that have no measurement error
• Scalable spatio-temporal smoothing via hierarchical sparse Cholesky decomposition
• High-dimensional conditionally Gaussian state space models with missing data

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