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

DOI10.1016/j.jspi.2016.04.002zbMath1343.62081OpenAlexW2339358802MaRDI QIDQ286471

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

zbMATH Keywords

Kalman filterstate space modelbias-correctionenvironmental dataestimated parameterspredictions bias

Mathematics Subject Classification ID

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

Uses Software

• astsa

Cites Work

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