STATIONARY AND NON-STATIONARY STATE SPACE MODELS

DOI10.1111/J.1467-9892.1994.TB00182.XMaRDI QIDQ4299016zbMATH OpenOpenAlexFDO

Authors Piet de Jong, Singfat Chu-Chun-Lin

Publication date 29 June 1994

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1994.tb00182.x

zbMATH Keywords

Kalman filterrandom walkstationaritystate space modelscovariance matrixnon-stationaritytime invarianceARIMA \((p,d,q)\) modelimmemorial timenecessary and sufficient conditions for stationarityunconditional mean

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 3727458 (Why is no real title available?)
• scientific article; zbMATH DE number 44406 (Why is no real title available?)
• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• scientific article; zbMATH DE number 3346572 (Why is no real title available?)
• Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering
• Efficient generalized cross-validation for state space models
• Estimation, Prediction, and Interpolation for ARIMA Models with Missing Data
• Intervention Analysis with Applications to Economic and Environmental Problems
• The diffuse Kalman filter

Cited in

(18)

• Nonlinear State-Space Models With State-Dependent Variances
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• On some classes of nonstationary parametric processes
• State Space Models and MIDAS Regressions
• Robust time series analysis through the forward search
• Robust Transformations in Univariate and Multivariate Time Series
• Exact initial conditions for maximum likelihood estimation of state space models with stochastic inputs
• Bayesian method for causal inference in spatially-correlated multivariate time series
• Likelihood functions for state space models with diffuse initial conditions
• A fast and stable method to compute the likelihood of time invariant state-space models.
• Stationary state space models for longitudinal data
• A Bayesian non-stationary heteroskedastic time series model for multivariate critical care data
• The exact likelihood for a state space model with stochastic inputs
• Nonlinear regime-switching state-space (RSSS) models
• Decomposition of a state-space model with inputs
• An algorithm for the exact Fisher information matrix of vector ARMAX time series
• State space modeling of non-standard actuarial time series

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