Efficient generalized cross-validation for state space models

DOI10.1093/BIOMET/74.1.139MaRDI QIDQ3753355zbMATH OpenOpenAlexFDO

Authors 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)

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Cited in

(10)

• A cross-validation filter for time series models
• The generalized cross validation filter
• Semi-Complete Data Augmentation for Efficient State Space Model Fitting
• The Signal Extraction Approach to Nonlinear Regression and Spline Smoothing
• Integrating noisy data
• FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS
• Filtering and smoothing algorithms for state space models
• A fast algorithm for signal extraction, influence and cross-validation in state space models
• Smoothing splines with variable continuity properties and degree
• STATIONARY AND NON-STATIONARY STATE SPACE MODELS

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