Bias-correction of Kalman filter estimators associated to a linear state space model with estimated parameters

DOI10.1016/J.JSPI.2016.04.002zbMATH Open1343.62081OpenAlexW2339358802MaRDI QIDQ286471FDOQ286471

Magda Monteiro, Marco Costa

Publication date: 20 May 2016

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10773/15570

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• scientific article; zbMATH DE number 4007521

zbMATH Keywords

Kalman filterstate space modelbias-correctionenvironmental dataestimated parameterspredictions bias

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to environmental and related topics (62P12)

Cites Work

• Title not available (Why is that?)
• Likelihood analysis of non-Gaussian measurement time series
• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• Bootstrap Approximation to Prediction MSE for State–Space Models with Estimated Parameters
• Non-parametric state space models
• A standard error for the estimated state vector of a state-space model
• Conditional Markov Processes
• A State space approach to bootstrapping conditional forecasts in arma models
• Confidence Intervals for the Hyperparameters in Structural Models
• Prediction Mean Squared Error for State Space Models with Estimated Parameters
• Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters
• Reml and best linear unbiased prediction in state space models
• Title not available (Why is that?)
• Inferences from optimal filtering equation
• Parameter estimation of state space models for univariate observations
• Resampling-based bias-corrected time series prediction

Cited In (2)

• Separate bias Kalman estimator with bias state noise
• A periodic mixed linear state-space model to monthly long-term temperature data

Uses Software

• astsa

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