Parameter estimation of state space models for univariate observations

DOI10.1016/J.JSPI.2010.01.036zbMATH Open1185.62165OpenAlexW2020504683MaRDI QIDQ963880FDOQ963880

Authors: Marco Costa, Teresa Alpuim 

Publication date: 14 April 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.01.036

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zbMATH Keywords

Kalman filterparameter estimationstate space modelarea rainfall estimates

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to environmental and related topics (62P12)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Title not available (Why is that?)
• Bayesian forecasting and dynamic models
• Dynamic Generalized Linear Models and Bayesian Forecasting
• Likelihood analysis of non-Gaussian measurement time series
• Title not available (Why is that?)
• Title not available (Why is that?)
• Posterior Mode Estimation by Extended Kalman Filtering for Multivariate Dynamic Generalized Linear Models
• A state space model for rub-off triangles

Cited In (9)

• Parameters estimation for SSMs: QL and AQL approaches
• State and parameter estimation of state-space model with entry-wise correlated uniform noise
• Title not available (Why is that?)
• Bias-correction of Kalman filter estimators associated to a linear state space model with estimated parameters
• On an approach to the estimation of the state-variable descriptive parameters for linear continuous-time models
• Parameter estimation for LTI state space model
• A standard error for the estimated state vector of a state-space model
• Parameter Space Restrictions in State Space Models
• Parametric estimation of hidden Markov models by least squares type estimation and deconvolution

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