The two-filter formula for smoothing and an implementation of the Gaussian-sum smoother

DOI10.1007/BF00773470MaRDI QIDQ1895418zbMATH OpenFDO

Authors Genshiro Kitagawa

Publication date 18 October 1995

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

Full work available at URL https://doi.org/10.1007/BF00773470

zbMATH Keywords

Gaussian mixtureGaussian-sum smoothernon- Gaussian smoothernon-Gaussian filternon-Gaussian state space modelingoutliersseasonal adjustment of economic time seriestimes seriestwo filter formula

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Recommendations

• scientific article; zbMATH DE number 775743
• Smoothing algorithms for state-space models
• Partial non-Gaussian state space
• Filtering and Smoothing Via Estimating Functions
• Non-Gaussian seasonal adjustment

Cites work

• Bayesian forecasting and dynamic models
• scientific article; zbMATH DE number 44406 (Why is no real title available?)
• scientific article; zbMATH DE number 3545060 (Why is no real title available?)
• Non-Gaussian seasonal adjustment
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Nonlinear Bayesian estimation using Gaussian sum approximations
• Recursive Bayesian estimation using Gaussian sums

Cited in

(16)

• Track fitting with non-Gaussian noise
• On the treatment of energy loss in track fitting
• A new smoothing algorithm for jump Markov linear systems
• scientific article; zbMATH DE number 1817737 (Why is no real title available?)
• Computational Methods for Time Series Analysis
• On the relationship between the Lagrange multiplier method and the two-filter smoother
• Computational aspects of sequential Monte Carlo filter and smoother
• Symmetric Smoothing Filters From Global Consistency Constraints
• Understanding Symmetric Smoothing Filters: A Gaussian Mixture Model Perspective
• scientific article; zbMATH DE number 775743 (Why is no real title available?)
• On the two-filter approximations of marginal smoothing distributions in general state-space models
• scientific article; zbMATH DE number 4184815 (Why is no real title available?)
• Identification of Wiener state-space models utilizing Gaussian sum smoothing
• On recursive marginal and MAP inference in state observation models
• Fast approximate posterior inference for modeling disease dynamics via state-space models
• Smoothing algorithms for state-space models

This page was built for publication: The two-filter formula for smoothing and an implementation of the Gaussian-sum smoother

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1895418)