scientific article; zbMATH DE number 3923921

MaRDI QIDQ3698121zbMATH OpenFDO

Authors Craig F. Ansley, Robert Kohn

Publication date 1984

zbMATH Keywords

conditional covariance matricesdiffuse initial statefilteringmaximum likelihood estimationmissing datamodified Kalman filternonstationary ARIMA modelstate space representations

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Probabilistic methods, stochastic differential equations (65C99)

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(9)

• Improved inference in nonparametric regression using \(L_ k\)-smoothing splines
• scientific article; zbMATH DE number 3883452 (Why is no real title available?)
• Fixed interval estimation in state space models when some of the data are missing or aggregated
• A structured state space approach to computing the likelihood of an ARIMA process and its derivatives
• Estimation, Prediction, and Interpolation for Nonstationary Series with the Kalman Filter
• The exact likelihood of an autoregressive-moving average model with incomplete data
• Estimation and forecasting of locally stationary processes
• A new algorithm to accelerate harmonic analysis of time series
• Recursive estimation of pre-sampled values in stochastic models

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