Estimation, Prediction, and Interpolation for Nonstationary Series with the Kalman Filter

DOI10.2307/2290864zbMath0806.62076MaRDI QIDQ4305733

Agustin Maravall, Víctor Gómez

Publication date: 16 February 1995

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1814/431

zbMATH Keywords

interpolation; estimation; time series; Kalman filter; missing observations; forecasting; likelihood function; ARIMA models; state-space representation; nonstationary series; ARIMA errors; fixed point smoother; likelihood of an autoregressive integrated moving average model

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

A note on interpolation of arima processes, A recursive approach for estimating missing observations in an univariate time series, Sensitivity of the portmanteau statistic in time series modeling, Pooling‐Based Data Interpolation and Backdating, Choosing a dynamic common factor as a coincident index, On probabilistic parametric inference, Missing observation analysis for matrix-variate time series data, Interpolation and backdating with a large information set, Time series clustering based on forecast densities, Forecasting time series with missing data using Holt's model, Missing observations in ARIMA models: Skipping approach versus additive outlier approach, Detection and estimation of structural changes and outliers in unobserved components, A note on prediction and interpolation errors in time series

Uses Software

• AS 197