An algorithm for non-parametric estimation in state-space models

DOI10.1016/J.CSDA.2020.107062OpenAlexW3049461796MaRDI QIDQ830582FDOQ830582

Authors: Thi Tuyet Trang Chau, Pierre Ailliot, Valérie Monbet 

Publication date: 7 May 2021

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.09525

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zbMATH Keywords

local linear regressionstate-space modelsSEM algorithmconditional particle filternon-parametric statistics

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Measurement Error in Nonlinear Models
• Mixtures of regressions with predictor-dependent mixing proportions
• Particle Markov Chain Monte Carlo Methods
• A stable particle filter for a class of high-dimensional state-space models
• Convergence of a stochastic approximation version of the EM algorithm
• Deterministic Nonperiodic Flow
• On particle methods for parameter estimation in state-space models
• Monte Carlo Smoothing for Nonlinear Time Series
• Time series analysis by state space methods.
• Locally-weighted regression: an approach to regression analysis by local fitting
• Backward simulation methods for Monte Carlo statistical inference
• Many IVs estimation of dynamic panel regression models with measurement error
• Title not available (Why is that?)

Cited In (5)

• Statistical algorithms for models in state space using SsfPack 2.2
• STABLE ALGORITHMS FOR THE STATE SPACE MODEL
• An algorithm for estimating parameters of a group of closely spaced random processes: Synthesis, analysis, and modeling
• Bayesian nonparametric dynamic state space modeling with circular latent states
• Review of SsfPack 2.2: statistical algorithms for models in state space

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