Fast filtering and smoothing for multivariate state space models
DOI10.1111/1467-9892.00186zbMATH Open0959.62081OpenAlexW2104676247MaRDI QIDQ62653FDOQ62653
Authors: Siem Jan Koopman, James Durbin 
Publication date: May 2000
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://pure.uvt.nl/portal/en/publications/fast-filtering-and-smoothing-for-multivariate-state-space-models(3ca0d14b-21ad-427f-8631-efb16eb47081).html
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Cited In (37)
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- Estimability of the linear effects in state space models with an unknown initial condition
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- Disturbance smoother for state space models
- Efficient generalized cross-validation for state space models
- A cross-validation filter for time series models
- Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
- A multi-state model of functional disability and health status in the presence of systematic trend and uncertainty
- Wiener–Kolmogorov Filtering and Smoothing for Multivariate Series With State–Space Structure
- Seasonal adjustment of an aggregate series using univariate and multivariate basic structural models
- Learning and forecasting of age-specific period mortality via B-spline processes with locally-adaptive dynamic coefficients
- Fast estimation methods for time-series models in state–space form
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- Fast same-step forecast in SUTSE model and its theoretical properties
- Efficient Gibbs sampling for Markov switching GARCH models
- Functional mixed effects models
- Efficient Bayesian estimation of multivariate state space models
- Sharp bounds for singular values of fractional integral operators
- Temporal disaggregation using multivariate structural time series models
- On use of the Kalman filter for spatial smoothing
- Estimation, Comparison, and Projection of Multifactor Age–Cohort Affine Mortality Models
- On seasonal functional modeling under strong dependence, with applications to mechanically ventilated breathing activity
- Block Kalman filtering for large-scale DSGE models
- Approximate singular values of the fractional difference and summation operators
- Simulation smoothing for state-space models: a computational efficiency analysis
- The sparse dynamic factor model: a regularised quasi-maximum likelihood approach
- State space models with finite dimensional dependence
- Efficient matrix approach for classical inference in state space models
- Estimation of market power in the presence of firm level inefficiencies
- Estimation of common factors under cross-sectional and temporal aggregation constraints
- Survey data as coincident or leading indicators
- Monte Carlo Kalman filter and smoothing for multivariate discrete state space models
- A fast algorithm for signal extraction, influence and cross-validation in state space models
- Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm
- sparseDFM
- Filtering and smoothing of state vector for diffuse state-space models
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