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

DOI10.1007/BF00773470zbMath0822.62080MaRDI QIDQ1895418

Genshiro Kitagawa

Publication date: 18 October 1995

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

zbMATH Keywords

outliersGaussian mixturetimes seriesGaussian-sum smoothernon- Gaussian smoothernon-Gaussian filternon-Gaussian state space modelingseasonal adjustment of economic time seriestwo filter formula

Mathematics Subject Classification ID

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

Related Items (7)

A new smoothing algorithm for jump Markov linear systems ⋮ Smoothing algorithms for state-space models ⋮ Computational aspects of sequential Monte Carlo filter and smoother ⋮ Computational Methods for Time Series Analysis ⋮ On the two-filter approximations of marginal smoothing distributions in general state-space models ⋮ Track fitting with non-Gaussian noise ⋮ On the treatment of energy loss in track fitting

Cites Work

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• Bayesian forecasting and dynamic models
• Non-Gaussian seasonal adjustment
• Recursive Bayesian estimation using Gaussian sums
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Nonlinear Bayesian estimation using Gaussian sum approximations

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