AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
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Publication:62650
DOI10.1111/J.1467-9892.1982.TB00349.XzbMATH Open0502.62085OpenAlexW1963718895WikidataQ100377204 ScholiaQ100377204MaRDI QIDQ62650FDOQ62650
Authors: R. H. Shumway, D. S. Stoffer, David S. Stoffer, Robert H. Shumway 
Publication date: July 1982
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1982.tb00349.x
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)
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Cited In (only showing first 100 items - show all)
- NONLINEAR DYNAMICAL SYSTEM IDENTIFICATION FROM UNCERTAIN AND INDIRECT MEASUREMENTS
- Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
- Learning nonlinear turbulent dynamics from partial observations via analytically solvable conditional statistics
- Extending the State-Space Model to Accommodate Missing Values in Responses and Covariates
- Modeling Noisy Time Series: Physiological Tremor
- Multivariate versions of Bartlett's formula
- Analysis of single particle diffusion with transient binding using particle filtering
- A stable estimator of the information matrix under EM for dependent data
- Dynamic modeling of mean-reverting spreads for statistical arbitrage
- Pairs trading
- On the integral with respect to the tensor product of two random measures
- Dual time-frequency domain system identification
- Discrete minimax designs for regression models with autocorrelated MA errors
- Sequential non-stationary dynamic classification with sparse feedback
- Bayesian inference in nonparametric dynamic state-space models
- Spatio-temporal smoothing and EM estimation for massive remote-sensing data sets
- Regression and time series model selection using variants of the schwarz information criterion
- A numerically efficient implementation of the expectation maximization algorithm for state space models
- Parameter estimation for a bidimensional partially observed Ornstein-Uhlenbeck process with biological application
- The kriged Kalman filter. (With discussion)
- Bias-correction of Kalman filter estimators associated to a linear state space model with estimated parameters
- On the reaction time of moving sum detectors
- Functional semiparametric partially linear model with autoregressive errors
- A kernel-based spectral model for non-Gaussian spatio-temporal processes
- Time-frequency clustering and discriminant analysis.
- Filtering and identification of a state space model with linear and bilinear interactions between the states
- Extensions of estimation methods using the EM algorithm
- State-Space Models: From the EM Algorithm to a Gradient Approach
- Estimation in a class of nonlinear heteroscedastic time series models
- Structure detection and parameter estimation for NARX models in a unified EM framework
- Nonstationary dynamic factor analysis
- Parameter estimation with scarce measurements
- Discriminant analysis for locally stationary processes
- An improved Akaike information criterion for state-space model selection
- Measuring the bullwhip effect for supply chains with seasonal demand components
- Computing observation weights for signal extraction and filtering
- Inference in binomial AR(1) models
- Application of nonlinear filtering to credit risk
- State-space models for count time series with excess zeros
- Post-'87 crash fears in the S\&P 500 futures option market
- Data-Recursive Smoother Formulae for Partially Observed Discrete-Time Markov Chains
- On markov chain monte carlo methods for nonlinear and non-gaussian state-space models
- Estimation of parameterized spatio-temporal dynamic models
- Development of a variational scheme for model inversion of multi-area model of brain. I: Simulation evaluation
- A hierarchical state space approach to affective dynamics
- Clustering of biological time series by cepstral coefficients based distances
- Approximate singular values of the fractional difference and summation operators
- Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data
- Wavelet-Variance-Based Estimation for Composite Stochastic Processes
- A Bayesian tutorial for data assimilation
- An Akaike information criterion for model selection in the presence of incomplete data.
- Efficient matrix approach for classical inference in state space models
- Estimation of vector error correction models with mixed-frequency data
- A hidden Markov model of credit quality
- Maximum likelihood estimation for dynamic factor models with missing data
- Robust Kalman tracking and smoothing with propagating and non-propagating outliers
- Practical small sample inference for single lag subset autoregressive models
- Estimating a State-Space Model from Point Process Observations
- Shrinkage estimation in the frequency domain of multivariate time series
- Some recent research in the analysis of mixture distributions
- Optimal smoothing in visual motion perception
- Modeling and simulation for toxicity assessment
- Parameter-based conditions for closed-loop system identifiability of ARX models with routine operating data
- EM-based identification of continuous-time ARMA models from irregularly sampled data
- Noise covariance identification for nonlinear systems using expectation maximization and moving horizon estimation
- Maximum likelihood identification of stable linear dynamical systems
- sparseDFM
- Exact filters for Newton-Raphson parameter estimation algorithms for continuous-time partially observed stochastic systems
- Application of extended Kalman filter for improving the accuracy and smoothness of Kinect skeleton-joint estimates
- Multiscale Bayesian state-space model for Granger causality analysis of brain signal
- Robust maximum-likelihood estimation of multivariable dynamic systems
- Estimation of the disturbance structure from data using semidefinite programming and optimal weighting
- Correlations between insurance lines of business: an illusion or a real phenomenon? Some methodological considerations
- The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk
- Segmenting mean-nonstationary time series via trending regressions
- Missing observation analysis for matrix-variate time series data
- Panel design effects on response rates and response quality
- A structural model with interventions for New Zealand sawn timber production
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- Estimation and smoothing from incomplete data for a class of lattice processes
- Time patterns in UK demand for alcohol and tobacco: an application of the EM algorithm
- Learning mixture models via component-wise parameter smoothing
- Asymptotic scaling laws for precision of parameter estimates in dynamical systems
- Real-time stylistic prediction for whole-body human motions
- Parameter-driven state-space model for integer-valued time series with application
- Approximate state space modelling of unobserved fractional components
- A linear systems approach to imaging through turbulence
- Testing omitted variables in VARs
- Dynamic factor analysis for short panels: estimating performance trajectories for water utilities
- New results in Sridhar filtering theory: The discrete case
- A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics
- Comparison of simulation-based algorithms for parameter estimation and state reconstruction in nonlinear state-space models
- A dynamic count process
- Online prediction of Berlin single-family house prices
- Application of state-space model with skew-\(t\) measurement noise to blood test value prediction
- A spectral EM algorithm for dynamic factor models
- Applying state space models to stochastic claims reserving
- Iterative QML estimation for asymmetric stochastic volatility models
- A statistical uncertainty principle for estimating the time of a discrete shift in the mean of a continuous time random process
- Smoothing spline ANOPOW
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