scientific article; zbMATH DE number 4022433

zbMATH Open0628.62093MaRDI QIDQ3765083FDOQ3765083

Authors: Tomáš Cipra, I. Motyková 

Publication date: 1987

Full work available at URL: https://eudml.org/doc/17569

Title of this publication is not available (Why is that?)

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zbMATH Keywords

Kalman filterpredictionARMAestimationmissing observationsNumerical simulationsmultivariate time series models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and prediction (62M20)

Cited In (10)

• Multifold Predictive Validation in ARMAX Time Series Models
• A note on Kalman Filter
• Monitoring Renal Transplants: An Application of the Multiprocess Kalman Filter
• Kalman Filter Analysis in Dendroclimatology
• The Kalman filter model under the assumption of the first-order autoregressive process in the disturbance terms
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• Prediction and filtration of a partially observed vector ARMA system of first order
• Present Position and Potential Developments: Some Personal Views: Time Series Analysis
• Missing data and forecasting in multivariate time series: An application of the common components dynamic linear model

Uses Software

• AS 154

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