Efficient generalized cross-validation for state space models

DOI10.1093/biomet/74.1.139zbMath0612.62131OpenAlexW1976253647MaRDI QIDQ3753355

Craig F. Ansley, Robert Kohn

Publication date: 1987

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/74.1.139

zbMATH Keywords

Kalman filterstate space modelinfluence matrixadaptive regressiongeneralized cross validation criterionpoint smoothing algorithmsmoothing spline problemsstochastic polynomial spline modelsvariance components models for time series

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (6)

The generalized cross validation filter ⋮ Integrating noisy data ⋮ Smoothing splines with variable continuity properties and degree ⋮ FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS ⋮ STATIONARY AND NON-STATIONARY STATE SPACE MODELS ⋮ Filtering and smoothing algorithms for state space models

This page was built for publication: Efficient generalized cross-validation for state space models