Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms
From MaRDI portal
Publication:413962
DOI10.1007/S10182-011-0172-3zbMATH Open1325.62180OpenAlexW2056915008MaRDI QIDQ413962FDOQ413962
Authors: Hermann Singer 
Publication date: 8 May 2012
Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10182-011-0172-3
Recommendations
- Nonlinear continuous time modeling approaches in panel research
- Continuous time modeling of panel data: SEM versus filter techniques
- Continuous panel models with time dependent parameters
- Continuous Time Series Models for Unequally Spaced Data Applied to Modeling Atomic Clocks
- Continuous time state space modeling of panel data by means of sem
samplingstochastic partial differential equationsKalman filteringrandom fieldsspatial modelsstochastic differential equationsapproximate nonlinear filteringcontinuous-discrete state space modelsstructural equations modelingItô calculus
Bayesian inference (62F15) Random fields; image analysis (62M40) Sequential statistical analysis (62L10) Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Cites Work
- The pricing of options and corporate liabilities
- Two singular diffusion problems
- Title not available (Why is that?)
- Stochastic processes and filtering theory
- Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
- Title not available (Why is that?)
- Stochastic Equations in Infinite Dimensions
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- Miscellanea. A statistical method of estimation and simulation for systems of stochastic differential equations
- Title not available (Why is that?)
- The Analysis of Panel Data Under a Markov Assumption
- Title not available (Why is that?)
- Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II
- Stochastic ordinary and stochastic partial differential equations. Transition from microscopic to macroscopic equations.
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- The Fokker-Planck equation. Methods of solution and applications.
- Ito versus Stratonovich
- A concise course on stochastic partial differential equations
- Closed-form likelihood expansions for multivariate diffusions
- Parameter estimation for partially observed hypoelliptic diffusions
- Title not available (Why is that?)
- Title not available (Why is that?)
- On Unscented Kalman Filtering for State Estimation of Continuous-Time Nonlinear Systems
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Title not available (Why is that?)
- Exponential Operators and Parameter Differentiation in Quantum Physics
- Title not available (Why is that?)
- Large fluctuations for a nonlinear heat equation with noise
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. I
- Derivatives of the matrix exponential and their computation
- The Dimensionality of the Aliasing Problem in Models With Rational Spectral Densities
- Semi-discretization of stochastic partial differential equations on $\mathbb{R}^1$ by a finite-difference method
- Evaluation of likelihood functions for Gaussian signals
- Title not available (Why is that?)
- Gaussian filters for nonlinear filtering problems
- A new method for the nonlinear transformation of means and covariances in filters and estimators
- New developments in state estimation for nonlinear systems
- Particle Filters for Partially Observed Diffusions
- A note on parameter differentiation of matrix exponentials, with applications to continuous-time modelling
- Continuous time state space modeling of panel data by means of sem
- Moment equations and Hermite expansion for nonlinear stochastic differential equations with application to stock price models
- The role of the likelihood function in the estimating of chaos models
- Fast continuous-discrete DAF-filters
- SEM modeling with singular moment matrices. I: ML-estimation of time series
- THE ESTIMATION OF PARAMETERS IN SYSTEMS OF STOCHASTIC DIFFERENTIAL EQUATIONS
- Random motion of strings and related stochastic evolution equations
- Continuous time modeling of panel data: SEM versus filter techniques
- Nonlinear continuous time modeling approaches in panel research
- On the Equivalence of Different Approaches to Stochastic Partial Differential Equations
- Title not available (Why is that?)
- Title not available (Why is that?)
- Problems with the estimation of stochastic differential equations using structural equations models
- Fitting Systems of Linear Differential Equations Using Computer Generated Exact Derivatives
- Title not available (Why is that?)
- Title not available (Why is that?)
- Test of hypotheses in panel data models when the regressor and disturbances are possibly non-stationary
- A functional connectivity approach for modeling cross-sectional dependence with an application to the estimation of hedonic housing prices in Paris
- Continuous panel models with time dependent parameters
- CONTINUOUS-TIME DYNAMICAL SYSTEMS WITH SAMPLED DATA, ERRORS OF MEASUREMENT AND UNOBSERVED COMPONENTS
- Title not available (Why is that?)
- Comparative study of estimation methods for continuous time stochastic processes
- A Wiener filter, state-space flux-optimal control against escape from a potential well
- The integrand density of states for random Schrödinger operators
- Nonrecursive Models as Discrete Approximations to Systems of Stochastic Differential Equations
- Title not available (Why is that?)
Cited In (7)
- Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC
- Importance sampling for Kolmogorov backward equations
- Least squares estimation for discretely observed Ornstein–Uhlenbeck process driven by small stable noises
- The discretization filter: A simple way to estimate nonlinear state space models
- Continuous time state space modeling of panel data by means of sem
- Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering
- Continuous time modeling of panel data: SEM versus filter techniques
Uses Software
This page was built for publication: Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q413962)
