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

DOI10.1016/j.jspi.2016.04.002zbMath1343.62081MaRDI QIDQ286471

Marco Costa, Magda Monteiro

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

zbMATH Keywords

Kalman filter; state space model; bias-correction; environmental data; estimated parameters; predictions bias

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P12: Applications of statistics to environmental and related topics

Uses Software

• astsa