Kalman filtering and smoothing for model-based signal extraction that depend on time-varying spectra

DOI10.1002/FOR.1203MaRDI QIDQ3018541zbMATH OpenOpenAlexFDO

Authors Siem Jan Koopman, Soon Yip Wong

Publication date 27 July 2011

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/for.1203

zbMATH Keywords

frequency domain bootstraptime-varying parametersfrequency domain estimationunobserved components models

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 3633568 (Why is no real title available?)
• scientific article; zbMATH DE number 472941 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Computing observation weights for signal extraction and filtering
• Estimation and information in stationary time series
• Fitting time series models to nonstationary processes
• Frequency domain bootstrap for the fractional cointegration regression
• Frequency domain inference for univariate impulse responses
• On bootstrapping kernel spectral estimates
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Smoothing Spline ANOVA for Time-Dependent Spectral Analysis
• Smoothing spline ANOVA models
• Smoothness priors analysis of time series
• Statistical algorithms for models in state space using SsfPack 2.2
• Structural Break Estimation for Nonstationary Time Series Models
• Time series analysis by state space methods
• Time-Dependent Spectral Analysis of Nonstationary Time Series

Cited in

(3)

• Algoritmo conjunto Kalman–Haar aplicado al procesamiento de señales
• Detection and extraction of periodic noises in audio and biomedical signals using Kalman filter
• Signal extraction and filtering by linear semiparametric methods

Describes a project that uses

Uses Software

• SsfPack
• Ox
• gss

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