State space models with finite dimensional dependence

DOI10.1111/1467-9892.00247MaRDI QIDQ2784954zbMATH OpenOpenAlexFDO

Authors Christian Gouriéroux, J. Jasiak

Publication date 24 April 2002

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

Full work available at URL https://doi.org/10.1111/1467-9892.00247

zbMATH Keywords

filteringnonlinear canonical correlationsprediction

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Measures of association (correlation, canonical correlation, etc.) (62H20) Inference from stochastic processes and prediction (62M20)

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(8)

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• An efficient nonparametric estimator for models with nonlinear dependence
• From general state-space to VARMAX models
• A Bayesian non-parametric model for small population mortality
• Parameter Space Restrictions in State Space Models
• State Space Models and MIDAS Regressions

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