Fitting EXPAR models through the extended Kalman filter
DOI10.1007/S13571-014-0085-8zbMATH Open1312.62106OpenAlexW2048117518MaRDI QIDQ2347553FDOQ2347553
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
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Cites Work
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- Time series analysis. Forecasting and control
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- Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
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- Optimal Detection of Exponential Component in Autoregressive Models
Cited In (13)
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- 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
- Data filtering-based recursive identification for an exponential autoregressive moving average model by using the multi-innovation theory
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- 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
- Second-order extended particle filter with exponential family observation model
- On Kalman filtering, posterior mode estimation and Fisher scoring in dynamic exponential family regression
- 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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