Fast likelihood evaluation and prediction for nonstationary state space models
DOI10.1093/BIOMET/81.1.133zbMATH Open0796.62078OpenAlexW2066713341MaRDI QIDQ4299488FDOQ4299488
Authors: Piet de Jong, Singfat Chu-Chun-Lin 
Publication date: 4 July 1994
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/81.1.133
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Kalman filterlikelihoodpredictionrecursive procedurenonstationarityinitializationdiffuseARIMA \((p,d,q)\)basic structural modelsnonstationary state space models
Probabilistic methods, stochastic differential equations (65C99) Inference from stochastic processes and prediction (62M20)
Cited In (14)
- Minimally conditioned likelihood for a nonstationary state space model
- A new state-space methodology to disaggregate multivariate time series
- The exact quasi-likelihood of time-dependent ARMA models
- Robust Transformations in Univariate and Multivariate Time Series
- Initializing the Kalman filter for nonstationary state space models
- Efficient likelihood estimation in state space models
- Fast estimation methods for time-series models in state–space form
- Recursive estimation in econometrics
- Single and multiple error state-space models for signal extraction
- Signal extraction and filtering by linear semiparametric methods
- Diffuse Restricted Kalman Filtering
- Modelling the HIV epidemic: A state-space approach
- Efficient Likelihood Evaluation of State-Space Representations
- STATIONARY AND NON-STATIONARY STATE SPACE MODELS
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