State space modeling of time series: A review essay

DOI10.1016/0165-1889(89)90005-5MaRDI QIDQ921819zbMATH OpenOpenAlexFDO

Authors Francis X. Diebold

Publication date 1989

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1889(89)90005-5

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A NONSTATIONARY TIME SERIES MODEL AND ITS FITTING BY A RECURSIVE FILTER
• Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering
• Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
• Bootstrap methods: another look at the jackknife
• Evaluation of likelihood functions for Gaussian signals
• Exact maximum-likelihood estimation of autoregressive models via the Kalman filter
• Forecasting and conditional projection using realistic prior distributions
• scientific article; zbMATH DE number 3179103 (Why is no real title available?)
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• scientific article; zbMATH DE number 65796 (Why is no real title available?)
• Modeling Multiple Times Series with Applications
• Notes on economic time series analysis: system theoretic perspectives
• On the fitting of multivariate processes of the autoregressive-moving average type
• Signal extraction for finite nonstationary time series
• The exact initial covariance matrix of the state vector of a general MA(q) process

Cited in

(1)

• State space modelling and spectral analysis of cointegrated vector processes (evidence from the U.S. and Scandinavian economies)

Describes a project that uses

Uses Software

• AS 154

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