A state-space approach to polygonal line regression

DOI10.1007/BF00054786MaRDI QIDQ1817391zbMATH OpenFDO

Authors Nobushisa Kashiwagi

Publication date 1 December 1996

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

simulationsmoothingedge detectionstructural changesAkaike information criterionlinear trendnon-Gaussian state-space modelswitching trend

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 4013835 (Why is no real title available?)
• scientific article; zbMATH DE number 4176306 (Why is no real title available?)
• scientific article; zbMATH DE number 3738710 (Why is no real title available?)
• scientific article; zbMATH DE number 3493798 (Why is no real title available?)
• scientific article; zbMATH DE number 3545060 (Why is no real title available?)
• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• A New Algorithm for Spline Smoothing Based on Smoothing a Stochastic Process
• Bayesian detection of structural changes
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• On use of the Kalman filter for spatial smoothing
• The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• The Signal Extraction Approach to Nonlinear Regression and Spline Smoothing

Cited in

(3)

• A state space model for rub-off triangles
• An approximate method of constructing a switching regression with unknown switch points
• Switching nonparametric regression models

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