INITIALIZING THE KALMAN FILTER FOR NONSTATIONARY TIME SERIES MODELS
From MaRDI portal
Publication:3985815
DOI10.1111/j.1467-9892.1991.tb00084.xzbMath0736.62080MaRDI QIDQ3985815
William R. Bell, Steven C. Hillmer
Publication date: 27 June 1992
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1991.tb00084.x
Kalman filter; ARIMA models; dynamic linear models; nonstationary time series; initialization; transformation approach; starting values; modified Kalman filter; ARIMA component models
62M20: Inference from stochastic processes and prediction
Related Items
Reml and best linear unbiased prediction in state space models, Signal Extraction for Non‐Stationary Multivariate Time Series with Illustrations for Trend Inflation, Modelling the HIV epidemic: A state-space approach, The exact likelihood for a state space model with stochastic inputs, On probabilistic parametric inference, Recursive estimation in econometrics, An iterated parametric approach to nonstationary signal extraction, Optimal signal extraction with correlated components, Optimal real-time filters for linear prediction problems, Signal extraction for nonstationary time series with diverse sampling rules, Detection and estimation of structural changes and outliers in unobserved components, Diffuse Restricted Kalman Filtering, MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION
Cites Work
- Unnamed Item
- Estimation, filtering, and smoothing in state space models with incompletely specified initial conditions
- Covariance matrix computation of the state variable of a stationary Gaussian process
- A structured state space approach to computing the likelihood of an ARIMA process and its derivatives
- Estimation, Prediction, and Interpolation for ARIMA Models with Missing Data
- Signal extraction for finite nonstationary time series
- The likelihood for a state space model
- Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
- A NONSTATIONARY TIME SERIES MODEL AND ITS FITTING BY A RECURSIVE FILTER