Penalized likelihood smoothing in robust state space models.

DOI10.1007/S001840050007zbMATH Open1093.62572OpenAlexW2057764457MaRDI QIDQ5953763FDOQ5953763

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

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Mathematics Subject Classification ID

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

Cited In (9)

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

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