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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• Estimation in a class of nonlinear heteroscedastic time series models
• Spatio-temporal smoothing and EM estimation for massive remote-sensing data sets
• Estimating a State-Space Model from Point Process Observations
• Discrete minimax designs for regression models with autocorrelated MA errors
• Estimation of the disturbance structure from data using semidefinite programming and optimal weighting
• Data-Recursive Smoother Formulae for Partially Observed Discrete-Time Markov Chains
• 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
• Shrinkage estimation in the frequency domain of multivariate time series
• Extending the State-Space Model to Accommodate Missing Values in Responses and Covariates
• Measuring the bullwhip effect for supply chains with seasonal demand components
• Maximum likelihood identification of stable linear dynamical systems
• On the reaction time of moving sum detectors
• On markov chain monte carlo methods for nonlinear and non-gaussian state-space models
• Regression and time series model selection using variants of the schwarz information criterion
• Some recent research in the analysis of mixture distributions
• Computing observation weights for signal extraction and filtering
• A numerically efficient implementation of the expectation maximization algorithm for state space models
• Bias-correction of Kalman filter estimators associated to a linear state space model with estimated parameters
• Analysis of single particle diffusion with transient binding using particle filtering
• Modeling Noisy Time Series: Physiological Tremor
• Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
• A Bayesian tutorial for data assimilation
• An Akaike information criterion for model selection in the presence of incomplete data.
• Dynamic modeling of mean-reverting spreads for statistical arbitrage
• Functional semiparametric partially linear model with autoregressive errors
• Optimal smoothing in visual motion perception
• Approximate singular values of the fractional difference and summation operators
• Learning nonlinear turbulent dynamics from partial observations via analytically solvable conditional statistics
• Inference in binomial AR(1) models
• Application of nonlinear filtering to credit risk
• Extensions of estimation methods using the EM algorithm
• Parameter estimation with scarce measurements
• State-space models for count time series with excess zeros
• A kernel-based spectral model for non-Gaussian spatio-temporal processes
• Structure detection and parameter estimation for NARX models in a unified EM framework
• Efficient matrix approach for classical inference in state space models
• Modeling and simulation for toxicity assessment
• Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data
• Post-'87 crash fears in the S\&P 500 futures option market
• Parameter estimation for a bidimensional partially observed Ornstein-Uhlenbeck process with biological application
• Multiscale Bayesian state-space model for Granger causality analysis of brain signal
• A stable estimator of the information matrix under EM for dependent data
• Pairs trading
• Practical small sample inference for single lag subset autoregressive models
• Nonstationary dynamic factor analysis
• Wavelet-Variance-Based Estimation for Composite Stochastic Processes
• Discriminant analysis for locally stationary processes
• 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
• Bayesian inference in nonparametric dynamic state-space models
• Sequential non-stationary dynamic classification with sparse feedback
• Estimation of vector error correction models with mixed-frequency data
• Clustering of biological time series by cepstral coefficients based distances
• NONLINEAR DYNAMICAL SYSTEM IDENTIFICATION FROM UNCERTAIN AND INDIRECT MEASUREMENTS
• On the integral with respect to the tensor product of two random measures
• State-Space Models: From the EM Algorithm to a Gradient Approach
• Time-frequency clustering and discriminant analysis.
• Multivariate versions of Bartlett's formula
• Robust maximum-likelihood estimation of multivariable dynamic systems
• Application of extended Kalman filter for improving the accuracy and smoothness of Kinect skeleton-joint estimates
• The kriged Kalman filter. (With discussion)
• Exact filters for Newton-Raphson parameter estimation algorithms for continuous-time partially observed stochastic systems
• Maximum likelihood estimation for dynamic factor models with missing data
• A hidden Markov model of credit quality
• Segmenting mean-nonstationary time series via trending regressions
• Dual time-frequency domain system identification
• 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
• An improved Akaike information criterion for state-space model selection
• sparseDFM
• Estimation of parameterized spatio-temporal dynamic models
• Filtering and identification of a state space model with linear and bilinear interactions between the states
• An algorithm for estimating parameters of state-space models
• Modelling asymmetric volatility dynamics by multivariate BL-GARCH models
• Further investigation into restricted Kalman filtering
• Observation-driven generalized state space models for categorical time series
• Applying state space models to stochastic claims reserving
• A dynamic count process
• A mixed filter algorithm for cognitive state estimation from simultaneously recorded continuous and binary measures of performance
• Model error estimation using the expectation maximization algorithm and a particle flow filter
• Estimation of common factors under cross-sectional and temporal aggregation constraints
• Latent event history models for quasi-reaction systems
• Mapping the presidential election cycle in US stock markets
• Missing observation analysis for matrix-variate time series data
• Estimating and modeling spatio-temporal correlation structures for river monitoring networks
• A structural model with interventions for New Zealand sawn timber production
• Dynamic System Parameter Identification by Stochastic Realization Methods
• A harmonic linear dynamical system for prominent ECG feature extraction
• A statistical uncertainty principle for estimating the time of a discrete shift in the mean of a continuous time random process
• Smoothing spline ANOPOW
• Panel design effects on response rates and response quality
• Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
• A Monte Carlo EM Approach for Partially Observable Diffusion Processes: Theory and Applications to Neural Networks
• A linear systems approach to imaging through turbulence
• Parameter-driven state-space model for integer-valued time series with application
• Robust maximum likelihood estimation for stochastic state space model with observation outliers
• An iterative Kalman smoother/least-squares algorithm for the identification of delta-ARX models

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