Smoothing and Interpolation with the State-Space Model
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Cited in
(54)- Further investigation into restricted Kalman filtering
- Signal extraction and filtering by linear semiparametric methods
- A synopsis of the smoothing formulae associated with the Kalman filter
- Local scale models. State space alternative to integraded GARCH processes
- Detecting shocks: Outliers and breaks in time series
- Kalman filter with outliers and missing observations
- Inferring monetary policy objectives with a partially observed state
- Bootstrap for correcting the mean square error of prediction and smoothed estimates in structural models
- Dynamic factor analysis for short panels: estimating performance trajectories for water utilities
- A note on low-dimensional Kalman smoothers for systems with lagged states in the measurement equation
- Derivation of a state-space model by functional data analysis
- An algorithm for estimating parameters of state-space models
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
- An algorithm for the exact Fisher information matrix of vector ARMAX time series
- Missing data in time series: a note on the equivalence of the dummy variable and the skipping approaches
- A direct derivation of the interpolation smoother
- Latent periodicity-2 in coronavirus SARS-CoV-2 genome: evolutionary implications
- Estimating stochastic volatility models using realized measures
- Nonparametric smoothing using state space techniques
- Estimation of common factors under cross-sectional and temporal aggregation constraints
- Restricted Kalman filtering revisited
- Multivariate temporal disaggregation with cross-sectional constraints
- Multivariate DLMs for forecasting financial time series, with application to the management of portfolios
- Temporal disaggregation by state space methods: Dynamic regression methods revisited
- Smoothing Time Series with Local Polynomial Regression on Time
- State space models for time series with patches of unusual observations
- On the Model-Based Interpretation of Filters and the Reliability of Trend–Cycle Estimates
- A fast algorithm for signal extraction, influence and cross-validation in state space models
- scientific article; zbMATH DE number 4124785 (Why is no real title available?)
- The reverse kalman filter
- Optimization methods in time series interpolation
- Benchmarking by State Space Models
- A Recursive Recomputation Approach for Smoothing in Nonlinear State–Space Modeling: An Attempt for Reducing Space Complexity
- Structural Time Series Models with Feedback Mechanisms
- Extensions to the invariance property of maximum likelihood estimation for affine-transformed state-space models
- Forecasting runoff triangles
- Combining Bayesian method and Kalman smoother for detection additive outlier patches in autoregressive time series
- Single and multiple error state-space models for signal extraction
- Estimability of the linear effects in state space models with an unknown initial condition
- State‐space models for multivariate longitudinal data of mixed types
- STABLE ALGORITHMS FOR THE STATE SPACE MODEL
- Diffuse Kalman filtering with linear constraints on the state parameters
- Dynamic spatial regression models for space‐varying forest stand tables
- Constrained Kalman filtering: additional results
- Diagnosing seasonal shifts in time series using state space models
- On modelling of crude oil futures in a bivariate state-space framework
- Detecting critical change in dynamics through outlier detection with time-varying parameters
- Prediction and forecasting in linear models with measurement error
- Smoothing algorithms for state-space models
- Computing observation weights for signal extraction and filtering
- Forecasting the US unemployment rate
- A structural model with interventions for New Zealand sawn timber production
- Recursive estimation in econometrics
- An improved Akaike information criterion for state-space model selection
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