Single and multiple error state-space models for signal extraction

DOI10.1080/00949655.2013.867960MaRDI QIDQ5220774zbMATH OpenOpenAlexFDO

Authors J. Casals, S. Sotoca, M. Jerez

Publication date 27 March 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://eprints.ucm.es/id/eprint/61904/1/Casals%2C%20J.%20Sotoca%2C%20S.%20Jerez%2C%20M.%20SingleMultiple_Source_Error_Models_NUEVA_VERSION.pdf

zbMATH Keywords

Kalman filterseasonal adjustmentsignal extractionstate-space modeltrend

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20) Filtering in stochastic control theory (93E11)

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Cites work

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Cited in

(3)

• State-space modeling for seismic signal analysis
• scientific article; zbMATH DE number 2154629 (Why is no real title available?)
• Identification of canonical models for vectors of time series: a subspace approach

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