Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series

DOI10.2202/1558-3708.1087zbMATH Open1080.91566OpenAlexW2094842666MaRDI QIDQ3368313FDOQ3368313

Authors: Catherine S. Forbes, Ralph D. Snyder 

Publication date: 27 January 2006

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2002/wp14-02.pdf

Recommendations

• INITIALIZING THE KALMAN FILTER FOR NONSTATIONARY TIME SERIES MODELS
• A note on Kalman Filter
• Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models
• Initializing the Kalman filter for nonstationary state space models
• Estimation, Prediction, and Interpolation for Nonstationary Series with the Kalman Filter

zbMATH Keywords

forecastingstate space modelsTime series analysisobject-oriented programming.

Mathematics Subject Classification ID

Economic time series analysis (91B84) Filtering in stochastic control theory (93E11)

Cited In (11)

• Title not available (Why is that?)
• Title not available (Why is that?)
• INITIALIZING THE KALMAN FILTER FOR NONSTATIONARY TIME SERIES MODELS
• Fast likelihood evaluation and prediction for nonstationary state space models
• Estimation and forecasting of locally stationary processes
• Applicability of Kalman filtering theory to identification of time series with non-stationary covariance structures
• Initializing the Kalman filter for nonstationary state space models
• The admissible parameter space for exponential smoothing models
• A note on Kalman Filter
• Kalman filter estimation for a regression model with locally stationary errors
• Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models

This page was built for publication: Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3368313)