Fitting EXPAR models through the extended Kalman filter

DOI10.1007/S13571-014-0085-8MaRDI QIDQ2347553zbMATH OpenOpenAlexFDO

Authors Himadri Ghosh, Bishal Gurung, Prajneshu Gupta

Publication date 28 May 2015

Published in Sankhyā. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13571-014-0085-8

zbMATH Keywords

extended Kalman filterexponential autoregressive modelforecast performancelandings dataout-of-sample forecast.

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 5719293 (Why is no real title available?)
• scientific article; zbMATH DE number 1069596 (Why is no real title available?)
• Evolutionary statistical procedures. An evolutionary computation approach to statistical procedures designs and applications
• Nonlinear time series. Nonparametric and parametric methods
• Optimal Detection of Exponential Component in Autoregressive Models
• Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
• Time series analysis. Forecasting and control

Cited in

(13)

• scientific article; zbMATH DE number 222694 (Why is no real title available?)
• Cauchy kernel correntropy-based robust multi-innovation identification method for the nonlinear exponential autoregressive model in non-Gaussian environment
• Two‐stage recursive identification algorithms for a class of nonlinear time series models with colored noise
• scientific article; zbMATH DE number 7370522 (Why is no real title available?)
• Data filtering-based recursive identification for an exponential autoregressive moving average model by using the multi-innovation theory
• Estimation in periodic restricted EXPAR(1) models
• Adaptive test for periodicity in restrictive EXPAR(p) models
• Nonlinear least squares estimation of the periodic EXPAR(1) model
• Exploring decline curve residual modeling using Kalman filter
• On Kalman filtering, posterior mode estimation and Fisher scoring in dynamic exponential family regression
• Second-order extended particle filter with exponential family observation model
• Detection of EXPAR nonlinearity in the presence of a nuisance unidentified under the null hypothesis
• Detecting exponential component in autoregressive models: comparative study between several tests of nonlinearity

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