SMOOTHING WITH AN UNKNOWN INITIAL CONDITION

DOI10.1111/1467-9892.00298zbMath1112.62106OpenAlexW1982037340MaRDI QIDQ3440779

Singfat Chu-Chun-Lin, Piet de Jong

Publication date: 29 May 2007

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00298

zbMATH Keywords

Kalman filterstate space modelsmoothing filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items

Diffuse Kalman filtering with linear constraints on the state parameters ⋮ Estimability of the linear effects in state space models with an unknown initial condition ⋮ Recursive estimation in econometrics ⋮ Restricted Kalman filter applied to dynamic style analysis of actuarial funds ⋮ Computing the mean square error of unobserved components extracted by misspecified time series models ⋮ A new state-space methodology to disaggregate multivariate time series ⋮ Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models ⋮ Diffuse Restricted Kalman Filtering

Uses Software

• STAMP

Cites Work

• Applied regression analysis bibliography update 1994-97
• Filtering and smoothing of state vector for diffuse state-space models