AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM

DOI10.1111/J.1467-9892.1982.TB00349.XMaRDI QIDQ62650zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

EM algorithmforecastingmaximum likelihoodmissing datarecursive proceduresmoothingstate-space model

Mathematics Subject Classification ID

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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• Statistical inference for oscillation processes
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• Panel design effects on response rates and response quality
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• NONLINEAR DYNAMICAL SYSTEM IDENTIFICATION FROM UNCERTAIN AND INDIRECT MEASUREMENTS
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• Modeling Noisy Time Series: Physiological Tremor
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• Dynamic modeling of mean-reverting spreads for statistical arbitrage
• On the integral with respect to the tensor product of two random measures
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• Dual time-frequency domain system identification
• Discrete minimax designs for regression models with autocorrelated MA errors
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• Mapping the presidential election cycle in US stock markets
• Measuring the bullwhip effect for supply chains with seasonal demand components
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• Extracting a low-dimensional predictable time series
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• Estimating and modeling spatio-temporal correlation structures for river monitoring networks
• A harmonic linear dynamical system for prominent ECG feature extraction
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