A new state-space methodology to disaggregate multivariate time series

DOI10.1111/J.1467-9892.2008.00602.XzbMATH Open1224.62081OpenAlexW2001164322MaRDI QIDQ3077643FDOQ3077643

Félix Aparicio Pérez, Víctor Gómez

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• TEMPORAL AGGREGATION IN THE ARIMA PROCESS
• The computation of Kronecker's canonical form of a singular pencil
• The diffuse Kalman filter
• 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
• Estimation, Prediction, and Interpolation for ARIMA Models with Missing Data
• A NONSTATIONARY TIME SERIES MODEL AND ITS FITTING BY A RECURSIVE FILTER
• SMOOTHING WITH AN UNKNOWN INITIAL CONDITION
• Temporal disaggregation using multivariate structural time series models

Cited In (2)

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

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