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

DOI10.1016/J.JSPI.2016.04.002MaRDI QIDQ286471zbMATH OpenOpenAlexFDO

Authors 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 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)

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Cites work

• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• scientific article; zbMATH DE number 1398561 (Why is no real title available?)
• A State space approach to bootstrapping conditional forecasts in arma models
• A standard error for the estimated state vector of a state-space model
• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• Bootstrap Approximation to Prediction MSE for State–Space Models with Estimated Parameters
• Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters
• Conditional Markov Processes
• Confidence Intervals for the Hyperparameters in Structural Models
• Inferences from optimal filtering equation
• Likelihood analysis of non-Gaussian measurement time series
• Non-parametric state space models
• Parameter estimation of state space models for univariate observations
• Prediction Mean Squared Error for State Space Models with Estimated Parameters
• Reml and best linear unbiased prediction in state space models
• Resampling-based bias-corrected time series prediction

Cited in

(5)

• Improvement in rainfall estimates using bias correction with the IAP-DCP global model
• Separate bias Kalman estimator with bias state noise
• A periodic mixed linear state-space model to monthly long-term temperature data
• System model bias processing approach for regional coordinated states information involved filtering
• Improving bias estimation precision via a more accuracy radar bias model

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Uses Software

• astsa

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