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

DOI10.1002/FOR.1203zbMATH Open1217.91144OpenAlexW2097091264MaRDI QIDQ3018541FDOQ3018541

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

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zbMATH Keywords

frequency domain bootstraptime-varying parametersfrequency domain estimationunobserved components models

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Smoothing spline ANOVA models
• Time series analysis by state space methods
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Fitting time series models to nonstationary processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• Time-Dependent Spectral Analysis of Nonstationary Time Series
• Structural Break Estimation for Nonstationary Time Series Models
• Smoothness priors analysis of time series
• Estimation and information in stationary time series
• On bootstrapping kernel spectral estimates
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Statistical algorithms for models in state space using SsfPack 2.2
• Smoothing Spline ANOVA for Time-Dependent Spectral Analysis
• Computing observation weights for signal extraction and filtering
• Title not available (Why is that?)
• Frequency domain inference for univariate impulse responses
• Frequency domain bootstrap for the fractional cointegration regression

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

Uses Software

• gss
• Ox
• SsfPack

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