Filtering and Smoothing Via Estimating Functions

DOI10.2307/2291154MaRDI QIDQ4836992zbMATH OpenOpenAlexFDO

Authors

Publication date 21 June 1995

Full work available at URL https://doi.org/10.2307/2291154

zbMATH Keywords

binomial logit modelcovariateestimating equationsestimating functionsextended Kalman filterfilteringnonlinear and non-Gaussian modelsnonlinear time series modelssimulation studiessmoothingstate-space models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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(37)

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• Optimal estimating functions, quasi-likelihood and statistical modelling
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• Fast smoothing in switching approximations of non-linear and non-Gaussian models
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• Estimation for partially observed Markov processes
• The two-filter formula for smoothing and an implementation of the Gaussian-sum smoother
• A closed-form filter for binary time series
• Inference for random coefficient volatility models
• Generalized duration models and optimal estimation using estimating functions
• Non-asymptotic deviation inequalities for smoothed additive functionals in nonlinear state-space models
• A higher order correlation unscented Kalman filter
• State space models on special manifolds
• Nonparametric smoothing using state space techniques
• Second-order Bayesian revision of a generalised linear model
• scientific article; zbMATH DE number 1817737 (Why is no real title available?)
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• Set-values filtering and smoothing
• Bandwidth selection in pre-smoothed particle filters
• Estimation of noisy telegraph processes: Nonlinear filtering versus nonlinear smoothing (Corresp.)
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• Fundamental design tradeoffs in filtering, prediction, and smoothing
• Nonparametric state estimation of diffusion processes
• Monte Carlo Kalman filter and smoothing for multivariate discrete state space models
• Nonlinear and non-gaussian state estimation: A quasi-optimal estimator
• The estimation of a state space model by estimating functions with an application
• Disturbance smoother for state space models
• Regularization by fractional filter methods and data smoothing
• Estimation of unknown parameters in nonlinear and non-Gaussian state-space models
• Zero-modified count time series with Markovian intensities
• \(L^{1}\)-convergence of smoothing densities in non-parametric state space models
• Fast filtering and smoothing for multivariate state space models
• Joint estimation using quadratic estimating function
• Nonlinear recursive estimation of volatility via estimating functions
• Estimation, filtering and smoothing in the stochastic conditional duration model: an estimating function approach
• Stochastic volatility generated by product autoregressive models
• A partially linearized sigma point filter for latent state estimation in nonlinear time series models

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