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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• Comparative Study on State Estimation in Elastic Joints
• Modelling asymmetric volatility dynamics by multivariate BL-GARCH models
• Observation-driven generalized state space models for categorical time series
• Markov chain Monte Carlo based adaptive Rauch-Tung-Striebel smoother
• Approximate singular values of the fractional difference and summation operators
• Centered and non-centered principal component analyses in the frequency domain
• Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data
• Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises
• Wavelet-Variance-Based Estimation for Composite Stochastic Processes
• Co-existence of trend and value in financial markets: estimating an extended Chiarella model
• Segmental dynamic factor analysis for time series of curves
• Quadratic extrapolation for accelerating convergence of the EM fixed point problem
• Modeling Sensorimotor Learning with Linear Dynamical Systems
• Analyzing the dynamics of hand tremor time series
• Application of em-type algorithms to spatial data
• The interval versions of the Kalman filter and the EM algorithm
• A Bayesian tutorial for data assimilation
• Likelihood inference in BL-GARCH models
• The sparse dynamic factor model: a regularised quasi-maximum likelihood approach
• Real-time covariance estimation for the local level model
• Systems of seemingly unrelated regression equations with time varying coefficients -- an interplay of Kalman filtering, scoring, EM- and MINQUE-method
• An Akaike information criterion for model selection in the presence of incomplete data.
• Maximum likelihood estimation for dynamic factor models with missing data
• Efficient matrix approach for classical inference in state space models
• Robust Kalman tracking and smoothing with propagating and non-propagating outliers
• Estimation of vector error correction models with mixed-frequency data
• A hidden Markov model of credit quality
• Estimation of common factors under cross-sectional and temporal aggregation constraints
• Practical small sample inference for single lag subset autoregressive models
• Complex activity recognition via attribute dynamics
• Shrinkage estimation in the frequency domain of multivariate time series
• Modeling and simulation for toxicity assessment
• Some recent research in the analysis of mixture distributions
• Optimal smoothing in visual motion perception
• 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
• Estimating a State-Space Model from Point Process Observations
• Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling
• Maximum likelihood identification of stable linear dynamical systems
• Time series decomposition into oscillation components and phase estimation
• Application of extended Kalman filter for improving the accuracy and smoothness of Kinect skeleton-joint estimates
• Model error estimation using the expectation maximization algorithm and a particle flow filter
• Collaborative linear dynamical system identification by scarce relevant/irrelevant observations
• Efficient inference in state-space models through adaptive learning in online Monte Carlo expectation maximization
• Exact filters for Newton-Raphson parameter estimation algorithms for continuous-time partially observed stochastic systems
• Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data
• Estimation of the disturbance structure from data using semidefinite programming and optimal weighting
• Robust maximum-likelihood estimation of multivariable dynamic systems
• Multiscale Bayesian state-space model for Granger causality analysis of brain signal
• A Monte Carlo EM Approach for Partially Observable Diffusion Processes: Theory and Applications to Neural Networks
• Towards efficient maximum likelihood estimation of LPV-SS models
• Segmenting mean-nonstationary time series via trending regressions
• Approximation of the principal components analysis of a stationary function
• Missing observation analysis for matrix-variate time series data
• A structural model with interventions for New Zealand sawn timber production
• 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
• Statistical inference for oscillation processes
• Estimation and smoothing from incomplete data for a class of lattice processes
• Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
• Panel design effects on response rates and response quality
• Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
• NONLINEAR DYNAMICAL SYSTEM IDENTIFICATION FROM UNCERTAIN AND INDIRECT MEASUREMENTS
• Learning nonlinear turbulent dynamics from partial observations via analytically solvable conditional statistics
• 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
• Multivariate versions of Bartlett's formula
• Extending the State-Space Model to Accommodate Missing Values in Responses and Covariates
• Modeling Noisy Time Series: Physiological Tremor
• 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
• 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
• Pairs trading
• Bayesian inference in nonparametric dynamic state-space models
• Sequential non-stationary dynamic classification with sparse feedback
• Parameter-driven state-space model for integer-valued time series with application
• A numerically efficient implementation of the expectation maximization algorithm for state space models
• A linear systems approach to imaging through turbulence
• Approximate state space modelling of unobserved fractional components
• New results in Sridhar filtering theory: The discrete case
• Regression and time series model selection using variants of the schwarz information criterion
• Dynamic factor analysis for short panels: estimating performance trajectories for water utilities
• Spatio-temporal smoothing and EM estimation for massive remote-sensing data sets
• Testing omitted variables in VARs
• The kriged Kalman filter. (With discussion)
• Parameter estimation for a bidimensional partially observed Ornstein-Uhlenbeck process with biological application
• Bias-correction of Kalman filter estimators associated to a linear state space model with estimated parameters
• 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
• Online prediction of Berlin single-family house prices
• Application of state-space model with skew-\(t\) measurement noise to blood test value prediction

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