STABLE ALGORITHMS FOR THE STATE SPACE MODEL

DOI10.1111/J.1467-9892.1991.TB00074.XMaRDI QIDQ5751914zbMATH OpenOpenAlexFDO

Authors Piet de Jong

Publication date 1991

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1991.tb00074.x

zbMATH Keywords

Kalman filtermissing valuessingular innovation covariance matricessquare root filteringstable algorithmsstochastic state space model

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Probabilistic methods, stochastic differential equations (65C99) Numerical optimization and variational techniques (65K10) Filtering in stochastic control theory (93E11)

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Cites work

• A cross-validation filter for time series models
• scientific article; zbMATH DE number 44406 (Why is no real title available?)
• scientific article; zbMATH DE number 3473182 (Why is no real title available?)
• Smoothing and Interpolation with the State-Space Model
• Square-root algorithms for least-squares estimation

Cited in

(16)

• An atmosphere-ocean time series model of global climate change
• Kalman filtering on approximate state-space models
• An algorithm for estimating parameters of state-space models
• Fast robust methods for singular state-space models
• A numerically efficient implementation of the expectation maximization algorithm for state space models
• Fixed interval estimation in state space models when some of the data are missing or aggregated
• Algorithm of stable state spaces in reinforcement learning
• Numerically stable Kalman filter implementations for estimating linear pairwise Markov models in the presence of Gaussian noise
• Statistical algorithms for models in state space using SsfPack 2.2
• scientific article; zbMATH DE number 1398561 (Why is no real title available?)
• Extensions to the invariance property of maximum likelihood estimation for affine-transformed state-space models
• Regular kernel method for state space model
• Fast filtering and smoothing for multivariate state space models
• Analysis, detection and correction of misspecified discrete time state space models
• Unobserved component models applied to the assessment of wear in railway points: a case study
• Recursive estimation in econometrics

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