A new state-space methodology to disaggregate multivariate time series

DOI10.1111/J.1467-9892.2008.00602.XMaRDI QIDQ3077643zbMATH OpenOpenAlexFDO

Authors Víctor Gómez, Félix Aparicio Pérez

Publication date 22 February 2011

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2008.00602.x

zbMATH Keywords

Kalman filterinterpolationsmoothingobservabilitytemporal aggregation

Mathematics Subject Classification ID

Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• scientific article; zbMATH DE number 193291 (Why is no real title available?)
• A NONSTATIONARY TIME SERIES MODEL AND ITS FITTING BY A RECURSIVE FILTER
• Estimation, Prediction, and Interpolation for ARIMA Models with Missing Data
• Fast likelihood evaluation and prediction for nonstationary state space models
• Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
• SMOOTHING WITH AN UNKNOWN INITIAL CONDITION
• TEMPORAL AGGREGATION IN THE ARIMA PROCESS
• Temporal disaggregation using multivariate structural time series models
• The computation of Kronecker's canonical form of a singular pencil
• The diffuse Kalman filter

Cited in

(3)

• Decomposition of a state-space model with inputs
• A new state-space model for linear discrete multipass processes
• Temporal aggregation of lognormal AR processes

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