Fast likelihood evaluation and prediction for nonstationary state space models

DOI10.1093/BIOMET/81.1.133MaRDI QIDQ4299488zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Kalman filterlikelihoodpredictionrecursive procedurenonstationarityinitializationdiffuseARIMA \((p,d,q)\)basic structural modelsnonstationary state space models

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Inference from stochastic processes and prediction (62M20)

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Cited in

(13)

• STATIONARY AND NON-STATIONARY STATE SPACE MODELS
• Fast estimation methods for time-series models in state–space form
• Diffuse Restricted Kalman Filtering
• Robust Transformations in Univariate and Multivariate Time Series
• Modelling the HIV epidemic: A state-space approach
• Minimally conditioned likelihood for a nonstationary state space model
• Recursive estimation in econometrics
• A new state-space methodology to disaggregate multivariate time series
• Signal extraction and filtering by linear semiparametric methods
• Efficient Likelihood Evaluation of State-Space Representations
• Single and multiple error state-space models for signal extraction
• Initializing the Kalman filter for nonstationary state space models
• The exact quasi-likelihood of time-dependent ARMA models

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