Stochastic and deterministic trend in state space models

DOI10.1080/03610918.2019.1606240MaRDI QIDQ5082746zbMATH OpenOpenAlexWikidataFDO

Authors Elisa Jorge-González, Enrique González-Dávila, Raquel Martín-Rivero, Domingo Lorenzo-Díaz

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2019.1606240

zbMATH Keywords

local level modelslocal linear trend modelsstate space modelstime seriestrend

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• A new look at the statistical model identification
• Bayesian forecasting and dynamic models.
• Dynamic Linear Models with R
• Estimating the dimension of a model
• Forecasting daily time series using periodic unobserved components time series models
• scientific article; zbMATH DE number 3545060 (Why is no real title available?)
• Model Selection and Multimodel Inference
• State-space methods for time series analysis. Theory, applications and software
• Time series analysis by state space methods.

Cited in

(1)

• Dynamic regression models with stochastic trends: an application to the unemployment-growth relation

Describes a project that uses

Uses Software

• STAMP
• E4

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