Non-Gaussian State-Space Modeling of Nonstationary Time Series

DOI10.2307/2289375zbMATH Open0644.62088OpenAlexW4229793772MaRDI QIDQ3787329FDOQ3787329

Publication date: 1987

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2289375

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (only showing first 100 items - show all)

Dynamic generalized linear models and repeated measurements
Statistical inference for time-inhomogeneous volatility models.
Testing for jumps in the stochastic volatility models
Nonlinear continuous-discrete filtering using kernel density estimatesand functional integrals
DSGE models with Student-\(t\) errors
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Computational aspects of sequential Monte Carlo filter and smoother
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Smoothing algorithms for state-space models
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Improved minimum entropy filtering for continuous nonlinear non-Gaussian systems using a generalized density evolution equation
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Modelling and forecasting noisy realized volatility
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Multivariate Stochastic Volatility: A Review
A non-Gaussian family of state-space models with exact marginal likelihood
Monte carlo filter using the genetic algorithm operators
Nonlinear filters based on taylor series expansions^∗
Trend/cycle decomposition of regime-switching processes
Maximum-likelihood estimation for hidden Markov models
Asymmetry in stochastic volatility models with threshold and time-dependent correlation
Estimation of stochastic volatility models via Monte Carlo maximum likelihood
Switching state-space models: likelihood function, filtering and smoothing
Stability of the Gibbs sampler for Bayesian hierarchical models
Bayesian estimation of state-space models using the Metropolis-Hastings algorithm within Gibbs sampling.
Fault detection and isolation in non-linear stochastic systems—A combined adaptive Monte Carlo filtering and likelihood ratio approach
On time series of observations from exponential family distributions
Nonlinear tracking in a diffusion process with a Bayesian filter and the finite element method
Robust decentralized multi-model adaptive template tracking
Estimation of Stochastic Volatility Models: An Approximation to the Nonlinear State Space Representation
A quadrature-based method of moments for nonlinear filtering
Dynamic linear models with Markov-switching
Asset pricing with incomplete information and fat tails
Measuring the baseline sales and the promotion effect for incense products: a Bayesian state-space modeling approach
Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations
Antithetic sampling for sequential Monte Carlo methods with application to state-space models
Simulated likelihood inference for stochastic volatility models using continuous particle filtering
The Kantorovich inequality for error analysis of the Kalman filter with unknown noise distributions
Comparison of MCMC methods for estimating stochastic volatility models
Local scale models. State space alternative to integraded GARCH processes
Partial non-Gaussian state space
State space mixed models for longitudinal observations with binary and binomial responses
Non-Gaussian test models for prediction and state estimation with model errors
On markov chain monte carlo methods for nonlinear and non-gaussian state-space models
On Kalman filtering, posterior mode estimation and Fisher scoring in dynamic exponential family regression
Derivative-free estimation methods: new results and performance analysis
A self-organizing state space model and simplex initial distribution search
Nonlinear regime-switching state-space (RSSS) models
Moment equations and Hermite expansion for nonlinear stochastic differential equations with application to stock price models
Bayesian inference and state number determination for hidden Markov models: an application to the information content of the yield curve about inflation
A threshold model for heron productivity
Sequential Bayesian inference for static parameters in dynamic state space models
Integrating mark-recapture-recovery and census data to estimate animal abundance and demographic parameters
Penalized likelihood estimation and iterative Kalman smoothing for non-Gaussian dynamic regression models
Fast continuous-discrete DAF-filters
Estimation for partially observed Markov processes
Filtered likelihood for point processes
Validation of state-space models from a single realization of non-Gaussian measurements
A general science-based framework for dynamical spatio-temporal models
Non-Gaussian seasonal adjustment
A general framework for the parametrization of hierarchical models
The two-filter formula for smoothing and an implementation of the Gaussian-sum smoother
A survey of sequential Monte Carlo methods for economics and finance
Estimating parameters in stochastic systems: A variational Bayesian approach
Mixed-effects state-space models for analysis of longitudinal dynamic systems
A new algorithm for latent state estimation in non-linear time series models
Generalized spatial dynamic factor models
Multiscale local change point detection with applications to value-at-risk
Monte Carlo Kalman filter and smoothing for multivariate discrete state space models
Stochastic models for heterogeneous DNA sequences
Control Variates for the Metropolis–Hastings Algorithm
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A survey of numerical methods for nonlinear filtering problems
Extending integrated nested Laplace approximation to a class of near-Gaussian latent models
Extension and verification of the SEIR model on the 2009 influenza A (H1N1) pandemic in Japan
Modelling the HIV epidemic: A state-space approach
An application of a two-level non-Gaussian state-space model in the analysis of longitudinal papilloma count data
Pairwise Likelihood Inference for General State Space Models
Nonlinear State-Space Models With State-Dependent Variances
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A new derivation of the cubature Kalman filters
A family of multivariate non‐gaussian time series models
Nonlinear and nonnormal filters using Monte Carlo methods
Nonlinear time series analysis since 1990: Some personal reflections
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Signal Extraction Problems in Seismology
Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC
Continuous-time state-space modelling of the hot hand in basketball
Modelling time series of counts in epidemiology
Inference of dynamic generalized linear models: on-line computation and appraisal
Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns
A skew-normal dynamic linear model and Bayesian forecasting
Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets
Sequential Monte Carlo pricing of American-style options under stochastic volatility models
Bayesian analysis for dynamic generalized linear latent model with application to tree survival rate
On improving sensitivity of the Kalman filter.
Demand for live betting: an analysis using state-space models
Robust estimation iin time series: an approximation to the gaussian sum filter
Computational Methods for Time Series Analysis

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