A note on implementing the Durbin and Koopman simulation smoother

DOI10.1016/J.CSDA.2015.05.001zbMATH Open1468.62090OpenAlexW2118770291MaRDI QIDQ1663187FDOQ1663187

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

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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)

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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