Regular kernel method for state space model

MaRDI QIDQ6155219zbMATH OpenFDO

Authors

Publication date 12 June 2023

Full work available at URL http://121.43.60.238/sxwlxbA/EN/abstract/abstract16706.shtml

zbMATH Keywords

state-space modelautoregressionkernel methodfunction reconstruction

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Applications of functional analysis in probability theory and statistics (46N30)

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Cites work

• scientific article; zbMATH DE number 3181381 (Why is no real title available?)
• Estimating a State-Space Model from Point Process Observations
• Fitting autoregressive models for prediction
• On the expected discounted penalty function in a Markov-dependent risk model with a constant dividend barrier
• Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies
• Sequential Monte Carlo Methods for Dynamic Systems
• State-space multitaper time-frequency analysis
• Statistical predictor identification

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