State space modeling of time series: A review essay

DOI10.1016/0165-1889(89)90005-5zbMath0709.62631OpenAlexW1588525861MaRDI QIDQ921819

Francis X. Diebold

Publication date: 1989

Published in: Journal of Economic Dynamics \& 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)

Related Items

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

Uses Software

• AS 154

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Notes on economic time series analysis: system theoretic perspectives
• Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
• The exact initial covariance matrix of the state vector of a general \(MA(q)\) process
• Exact maximum-likelihood estimation of autoregressive models via the Kalman filter
• Bootstrap methods: another look at the jackknife
• Signal extraction for finite nonstationary time series
• Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering
• Modeling Multiple Times Series with Applications
• A NONSTATIONARY TIME SERIES MODEL AND ITS FITTING BY A RECURSIVE FILTER
• On the fitting of multivariate processes of the autoregressive-moving average type
• Forecasting and conditional projection using realistic prior distributions
• Evaluation of likelihood functions for Gaussian signals