Structural Time Series Models with Feedback Mechanisms
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Publication:4670399
DOI10.1111/j.0006-341X.2000.00686.xzbMath1060.62552OpenAlexW1999040123WikidataQ74310626 ScholiaQ74310626MaRDI QIDQ4670399
Publication date: 22 April 2005
Published in: Biometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.0006-341x.2000.00686.x
feedbackstate-space modelconditionally Gaussian modelmultiprocess dynamic linear modelpulsatile time series
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)
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- Monte Carlo maximum likelihood estimation for non-Gaussian state space models
- Disturbance smoother for state space models
- The simulation smoother for time series models
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