A NONSTATIONARY TIME SERIES MODEL AND ITS FITTING BY A RECURSIVE FILTER

DOI10.1111/J.1467-9892.1981.TB00316.XMaRDI QIDQ3956271zbMATH OpenOpenAlexFDO

Authors Genshiro Kitagawa

Publication date 1981

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1981.tb00316.x

zbMATH Keywords

Kalman filterAICseasonal adjustmenttrend estimationstate space representationrecursive filterlikelihood of innovation processnonstationary time series modelsquare root smoother

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99) Inference from stochastic processes and prediction (62M20)

Cites work

• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Extension of square-root filtering to include process noise
• Trend estimation with missing observations

Cited in

(21)

• INITIALIZING THE KALMAN FILTER FOR NONSTATIONARY TIME SERIES MODELS
• Identification of non-linear stochastic systems by state dependent parameter estimation
• A new state-space methodology to disaggregate multivariate time series
• A systems approach to recursive economic forecasting and seasonal adjustment
• Detecting shocks: Outliers and breaks in time series
• Time-varying parameter auto-regressive models for autocovariance nonstationary time series
• Analytical uses of Kalman filtering in econometrics — A survey
• Prediction theory for autoregressivemoving average processes
• Applicability of Kalman filtering theory to identification of time series with non-stationary covariance structures
• COMPUTATIONALLY EFFICIENT IMPLEMENTATION OF A BAYESIAN SEASONAL ADJUSTMENT PROCEDURE
• Detecting seasonal unit roots in a structural time series model
• Exploring the dynamics of dyadic interactions via hierarchical segmentation
• Diffuse Kalman filtering with linear constraints on the state parameters
• Detecting seasonal unit roots in a structural time series model
• Smoothness priors transfer function estimation
• Dynamic Bayesian ratemaking: a Markov chain approximation approach
• State space modeling of time series: A review essay
• Non-Gaussian seasonal adjustment
• Frequency domain characteristics of linear operator to decompose a time series into the multi-components
• A general structural model for decomposing time series and its analysis as a generalized regression model
• An application of a two-level non-Gaussian state-space model in the analysis of longitudinal papilloma count data

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