SMOOTHING WITH AN UNKNOWN INITIAL CONDITION

DOI10.1111/1467-9892.00298MaRDI QIDQ3440779zbMATH OpenOpenAlexFDO

Authors Piet de Jong, Singfat Chu-Chun-Lin

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

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

Recommendations

• Estimation, filtering, and smoothing in state space models with incompletely specified initial conditions
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• On a smoother of discrete-time linear stochastic systems with unknown disturbances

Cites work

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

Cited in

(9)

• Computing the mean square error of unobserved components extracted by misspecified time series models
• Diffuse Restricted Kalman Filtering
• Recursive estimation in econometrics
• 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
• Estimability of the linear effects in state space models with an unknown initial condition
• Restricted Kalman filter applied to dynamic style analysis of actuarial funds
• Diffuse Kalman filtering with linear constraints on the state parameters
• Smoothing estimation of stochastic processes: Change of initial condition formulas

Describes a project that uses

Uses Software

• STAMP

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