Penalized likelihood smoothing in robust state space models.

DOI10.1007/S001840050007MaRDI QIDQ5953763zbMATH OpenOpenAlexFDO

Authors Ludwig Fahrmeir, Rita Künstler

Publication date 29 January 2002

Published in Metrika (Search for Journal in Brave)

Full work available at URL http://nbn-resolving.de/urn:nbn:de:bvb:19-epub-1500-3

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(10)

• Penalized likelihood estimation and iterative Kalman smoothing for non-Gaussian dynamic regression models
• Function estimation with locally adaptive dynamic models
• Recursive maximum likelihood estimation with \(t\)-distribution noise model
• Nonparametric smoothing using state space techniques
• Bayesian-type count data models with varying coefficients: estimation and testing in the presence of overdispersion
• Robust maximum likelihood estimation for stochastic state space model with observation outliers
• Online monitoring with local smoothing methods and adaptive ridging
• Outliers, structural shifts and heavy-tailed distributions in state space time series models
• Robust inversion, dimensionality reduction, and randomized sampling
• Multivariate dynamic model for ordinal outcomes

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