scientific article; zbMATH DE number 3727458
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Publication:3915869
aggregationARMA modelsKalman filterlinear filtersmodel selectionpredictionsmoothingspectral regressionstate space modelstime series models
Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes and prediction (62M20)
Cited in
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- A Bayesian analysis of some threshold switching models
- An eigenvalue approach to the limiting behavior of time series aggregates
- Optimal estimation policies of stochastic linear systems with time- varying parameters
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- Optimal properties of exponentially weighted forecasts in the presence of different information sources
- Outlier detection in the state space model
- Bayes inference in regression models with ARMA\((p,q)\) errors
- Simplicity versus optimality: The choice of monetary policy rules when agents must learn
- The ability to correct the bias in the stable AD(1,1) model with a feedback effect
- A nonnested approach to testing continuous time models against discrete alternatives
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- Conditional forecasts on SVAR models using the Kalman filter
- A new stochastically flexible event methodology with application to proposition 103
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- Fitting time series models for longitudinal survey data under informative sampling
- Bayesian model order selection of vector moving average processes
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- The macroeconomy and the yield curve: a dynamic latent factor approach
- The structure of US food demand
- Bayesian inferences and forecasting in bilinear time series models
- Identification of non-linear stochastic systems by state dependent parameter estimation
- Sobre la robustificacion interna del algoritmo de Plackett-Kalman para la estimacion recursiva del modelo de regresion lineal
- Stationary state space models for longitudinal data
- A model of near-rational exuberance
- FIML estimation of dynamic econometric systems from inconsistent data
- Conditionally gaussian distributions and an application to kalman filtering with stochastic regressors
- STATE TRANSITION SPECIFICATION IN STATE-SPACE MODELS
- ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS
- AN EXACT TEST FOR A STOCHASTIC COEFFICIENT IN A TIME SERIES REGRESSION MODEL
- STATIONARY AND NON-STATIONARY STATE SPACE MODELS
- Nonlinear filters based on taylor series expansions∗
- Monte Carlo Kalman filter and smoothing for multivariate discrete state space models
- Parameter risk in time-series mortality forecasts
- TEMPORAL AGGREGATION IN THE ARIMA PROCESS
- Bayesian classification with multivariate autoregressive sources that might have different orders
- Asymptotically exact confidence intervals of cusum and cusumsq tests: a numerical derivation using simulation technique
- Bayesian identification of seasonal multivariate autoregressive processes
- Testing a Unit Root Based on Aggregate Time Series
- Bayesian Identification of Multivariate Autoregressive Processes
- State‐space models for multivariate longitudinal data of mixed types
- TEMPORAL AGGREGATION AND TESTING FOR TIMBER PRICE BEHAVIOR
- Prediction theory for autoregressivemoving average processes
- Maximum likelihood estimation of the dynamic shock-error model
- Time series analysis with wavelet coefficients
- Incorporating lag order selection uncertainty in parameter inference for AR models
- The parameter set in an adaptive control Monte Carlo experiment: some considerations
- Multivariate online regression analysis with heterogeneous streaming data
- Invertible and non-invertible information sets in linear rational expectations models
- Multivariable time series sediment dynamical model and its identification in Rufiji Delta, Tanzania
- Periodic learning about a hidden state variable
- Particle filters for continuous likelihood evaluation and maximisation
- Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
- Understanding the difference between robust control and optimal control in a linear discrete-time system with time-varying parameters
- The ARMA model in state space form
- The exact initial covariance matrix of the state vector of a general MA(q) process
- Exact likelihood function for a regression model with MA(1) errors
- Recursive solution methods for dynamic linear rational expectations models
- On the dynamic structure of a seasonal component
- State space modeling of time series: A review essay
- A note on flexible least squares
- Methods for quarterly disaggregation without indicators; a comparative study using simulation
- Updating under unknown unknowns: an extension of Bayes' rule
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