The ARMA model in state space form

DOI10.1016/J.SPL.2004.08.006MaRDI QIDQ868278zbMATH OpenOpenAlexFDO

Authors Jeremy Penzer, Piet de Jong

Publication date 2 March 2007

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2004.08.006

zbMATH Keywords

filter steady stateKalman filter smootherstate space modeltime series

Mathematics Subject Classification ID

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

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Cites work

• A fast algorithm for signal extraction, influence and cross-validation in state space models
• Diagnosing Shocks in Time Series
• Evaluation of likelihood functions for Gaussian signals
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• Prediction theory for autoregressivemoving average processes
• The diffuse Kalman filter
• The likelihood for a state space model
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Cited in

(15)

• Bayesian analysis of loss reserving using dynamic models with generalized beta distribution
• The structure of multivariate AR and ARMA systems: regular and singular systems; the single and the mixed frequency case
• A flexible state space model and its applications
• State representations of ARMA-models
• State space models for time series with patches of unusual observations
• Prediction of Long-Range Dependent Time Series Data with Performance Guarantee
• Optimal observers for ARMA models
• Stochastic filtering methods in electronic trading
• State-space formulations for the tittered CARMA model
• Estimation and prediction of time-varying GARCH models through a state-space representation: a computational approach
• Single and multiple error state-space models for signal extraction
• Predictability, real time estimation, and the formulation of unobserved components models
• A unifying class of compound Poisson integer-valued ARMA and GARCH models
• Unscented Kalman filter for time varying spectral analysis of earthquake ground motions
• Instantaneous spectrum estimation of earthquake ground motions based on unscented Kalman filter method

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