Smoothness priors analysis of time series

DOI10.1007/978-1-4612-0761-0zbMath0853.62069OpenAlexW1514443597MaRDI QIDQ1922286

Publication date: 16 September 1996

Published in: Lecture Notes in Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4612-0761-0

zbMATH Keywords

smoothness priors trends missing data nonlinear state estimation seasonal adjustment discrete time processes nonlinear smoothing seasonal time series hyperparameters Gaussian state space modeling general state space modeling hidden Markov state classification inhomogeneous discrete processes least squares modeling nonstationary covariance time series quasi-periodic processes time varying variance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

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Uses Software

AS 154