Signal extraction for finite nonstationary time series

DOI10.1093/biomet/74.2.411zbMath0631.62099OpenAlexW2007792253MaRDI QIDQ3768223

Robert Kohn, Craig F. Ansley

Publication date: 1987

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/74.2.411

zbMATH Keywords

time seriesKalman filtermissing observationsinvariantinitial conditionsARIMA modelssignal extractionseasonal componenttransformation approachminimum mean squared errorsignal plus noise modeldiffuse priorbest estimatorindependent, stationary ARMA processesstructural component model

Mathematics Subject Classification ID

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

Related Items (9)

INITIALIZING THE KALMAN FILTER FOR NONSTATIONARY TIME SERIES MODELS ⋮ Smoothing non-stationary time series using the discrete cosine transform ⋮ FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS ⋮ Filtering and smoothing algorithms for state space models ⋮ State space modeling of time series: A review essay ⋮ An iterated parametric approach to nonstationary signal extraction ⋮ Estimating the Effect of Parameter Uncertainty in Repeated Sample Surveys ⋮ Assessing influence in Gaussian long-memory models ⋮ A Unified View of Signal Extraction, Benchmarking, Interpolation and Extrapolation of Time Series

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