Filtering and Smoothing Via Estimating Functions

DOI10.2307/2291154zbMATH Open0818.62082OpenAlexW4243220770MaRDI QIDQ4836992FDOQ4836992

Authors:

Publication date: 21 June 1995

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

Recommendations

• Filtering via estimating functions
• Smoothing algorithms for state-space models
• Filtering and smoothing algorithms for state space models
• Monte Carlo Smoothing for Nonlinear Time Series
• scientific article; zbMATH DE number 6431348

zbMATH Keywords

smoothingestimating equationsextended Kalman filterstate-space modelsfilteringestimating functionscovariatesimulation studiesnonlinear time series modelsbinomial logit modelnonlinear and non-Gaussian models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Cited In (36)

• Nonparametric state estimation of diffusion processes
• Estimation of noisy telegraph processes: Nonlinear filtering versus nonlinear smoothing (Corresp.)
• Nonparametric smoothing using state space techniques
• Fundamental design tradeoffs in filtering, prediction, and smoothing
• Approximate conditional least squares estimation of a nonlinear state-space model via an unscented Kalman filter
• Outlier resistant filtering and smoothing
• Regularization by fractional filter methods and data smoothing
• Second-order Bayesian revision of a generalised linear model
• Disturbance smoother for state space models
• Nonlinear and non-gaussian state estimation: A quasi-optimal estimator
• Title not available (Why is that?)
• Optimal estimating functions, quasi-likelihood and statistical modelling
• Estimation of unknown parameters in nonlinear and non-Gaussian state-space models
• Inference for random coefficient volatility models
• A higher order correlation unscented Kalman filter
• Fast smoothing in switching approximations of non-linear and non-Gaussian models
• Title not available (Why is that?)
• \(L^{1}\)-convergence of smoothing densities in non-parametric state space models
• Zero-modified count time series with Markovian intensities
• The estimation of a state space model by estimating functions with an application
• State space models on special manifolds
• Bandwidth selection in pre-smoothed particle filters
• Fast filtering and smoothing for multivariate state space models
• A closed-form filter for binary time series
• Set-values filtering and smoothing
• Estimation for partially observed Markov processes
• Joint estimation using quadratic estimating function
• Nonlinear recursive estimation of volatility via estimating functions
• The two-filter formula for smoothing and an implementation of the Gaussian-sum smoother
• Monte Carlo Kalman filter and smoothing for multivariate discrete state space models
• Estimation, filtering and smoothing in the stochastic conditional duration model: an estimating function approach
• Stochastic volatility generated by product autoregressive models
• Non-asymptotic deviation inequalities for smoothed additive functionals in nonlinear state-space models
• A partially linearized sigma point filter for latent state estimation in nonlinear time series models
• Generalized duration models and optimal estimation using estimating functions
• Filtering via estimating functions

This page was built for publication: Filtering and Smoothing Via Estimating Functions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4836992)