Fast filtering and smoothing for multivariate state space models
From MaRDI portal
(Redirected from Publication:62653)
Recommendations
- Filtering and smoothing of state vector for diffuse state-space models
- STABLE ALGORITHMS FOR THE STATE SPACE MODEL
- FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS
- Filtering and smoothing algorithms for state space models
- Filtering and Smoothing Via Estimating Functions
Cited in
(41)- Block Kalman filtering for large-scale DSGE models
- On use of the Kalman filter for spatial smoothing
- sparseDFM
- Analysis of multi-unit variance components models with state space profiles
- Efficient Gibbs sampling for Markov switching GARCH models
- Efficient matrix approach for classical inference in state space models
- Approximate singular values of the fractional difference and summation operators
- Affine stochastic mortality
- On seasonal functional modeling under strong dependence, with applications to mechanically ventilated breathing activity
- State space models with finite dimensional dependence
- Estimation of common factors under cross-sectional and temporal aggregation constraints
- Survey data as coincident or leading indicators
- Functional mixed effects models
- FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS
- Repeated surveys and the Kalman filter
- Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm
- Fast estimation methods for time-series models in state–space form
- Efficient generalized cross-validation for state space models
- A cross-validation filter for time series models
- A fast algorithm for signal extraction, influence and cross-validation in state space models
- scientific article; zbMATH DE number 1089167 (Why is no real title available?)
- Filtering and smoothing of state vector for diffuse state-space models
- Seasonal adjustment of an aggregate series using univariate and multivariate basic structural models
- Simulation smoothing for state-space models: a computational efficiency analysis
- Monte Carlo Kalman filter and smoothing for multivariate discrete state space models
- Disturbance smoother for state space models
- A multi-state model of functional disability and health status in the presence of systematic trend and uncertainty
- Estimation of market power in the presence of firm level inefficiencies
- Estimability of the linear effects in state space models with an unknown initial condition
- Wiener–Kolmogorov Filtering and Smoothing for Multivariate Series With State–Space Structure
- Temporal disaggregation using multivariate structural time series models
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- Fast same-step forecast in SUTSE model and its theoretical properties
- The sparse dynamic factor model: a regularised quasi-maximum likelihood approach
- Learning and forecasting of age-specific period mortality via B-spline processes with locally-adaptive dynamic coefficients
- Estimation, Comparison, and Projection of Multifactor Age–Cohort Affine Mortality Models
- On randomly periodic strongly dependent time series, with applications to neural respiratory drive data
- Nowcasting monthly GDP with big data: a model averaging approach
- Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
- Sharp bounds for singular values of fractional integral operators
- Efficient Bayesian estimation of multivariate state space models
This page was built for publication: Fast filtering and smoothing for multivariate state space models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q62653)
