Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models
From MaRDI portal
Publication:4376042
DOI10.2307/2965434zbMath0912.62103OpenAlexW4240735488MaRDI QIDQ4376042
Publication date: 8 February 1998
Full work available at URL: https://doi.org/10.2307/2965434
missing observationslikelihood functionstate spacescore vectordiffuse initial conditionsautoregressive integrated moving average components
Related Items
Marginal likelihood and unit roots ⋮ Dynamic factor multivariate GARCH model ⋮ Trend–Cycle Decompositions with Correlated Components ⋮ A Review of Some Modern Approaches to the Problem of Trend Extraction ⋮ Efficient MCMC sampling in dynamic mixture models ⋮ Diffuse Kalman filtering with linear constraints on the state parameters ⋮ State space models for time series with patches of unusual observations ⋮ On probabilistic parametric inference ⋮ Forecasting Longevity Gains for a Population with Short Time Series Using a Structural SUTSE Model: An Application to Brazilian Annuity Plans ⋮ Exact maximum likelihood estimation for non-stationary periodic time series models ⋮ Nonlinear regime-switching state-space (RSSS) models ⋮ Forecasting time series with multiple seasonal patterns ⋮ Minimally conditioned likelihood for a nonstationary state space model ⋮ Forecasting the US unemployment rate ⋮ Recursive estimation in econometrics ⋮ Introduction to the special issue on statistical signal extraction and filtering ⋮ An iterated parametric approach to nonstationary signal extraction ⋮ Restricted Kalman filter applied to dynamic style analysis of actuarial funds ⋮ Bayesian method for causal inference in spatially-correlated multivariate time series ⋮ Computing the mean square error of unobserved components extracted by misspecified time series models ⋮ Diagnosing seasonal shifts in time series using state space models ⋮ The exact likelihood for a state space model with stochastic inputs ⋮ Dynamic Factor Analysis with Non-Linear Temporal Aggregation Constraints ⋮ Intervention analysis with state-space models to estimate discontinuities due to a survey redesign ⋮ Prediction and forecasting in linear models with measurement error ⋮ On the Model-Based Interpretation of Filters and the Reliability of Trend–Cycle Estimates ⋮ Forecasting daily time series using periodic unobserved components time series models ⋮ Signal extraction and filtering by linear semiparametric methods ⋮ ADMISSIBLE CLUSTERING OF AGGREGATOR COMPONENTS: A NECESSARY AND SUFFICIENT STOCHASTIC SEMINONPARAMETRIC TEST FOR WEAK SEPARABILITY ⋮ Likelihood functions for state space models with diffuse initial conditions ⋮ Surveillance of non-stationary processes ⋮ Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models ⋮ Temporal disaggregation by state space methods: Dynamic regression methods revisited ⋮ Approximate state space modelling of unobserved fractional components ⋮ The Co-Integrated Vector Autoregression with Errors–in–Variables
