Time series analysis by state space methods
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(only showing first 100 items - show all)- Further investigation into restricted Kalman filtering
- Forecasting daily time series using periodic unobserved components time series models
- Pairwise likelihood inference for ordinal categorical time series
- Time series analysis via mechanistic models
- Signal extraction and filtering by linear semiparametric methods
- A Bayesian analysis of moving average processes with time-varying parameters
- Faster ARMA maximum likelihood estimation
- Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models
- Parameterisation and efficient MCMC estimation of non-Gaussian state space models
- Regression models for binary time series with gaps
- Marginal likelihoods for non-Gaussian models using auxiliary mixture sampling
- Spectral estimation of a structural thin-plate smoothing model
- Estimation of trend in state-space models: asymptotic mean square error and rate of convergence
- Online prediction of Berlin single-family house prices
- Approximate conditional least squares estimation of a nonlinear state-space model via an unscented Kalman filter
- Variance estimation for integrated population models
- A dynamic linear model with extended skew-normal for the initial distribution of the state parameter
- Long memory with stochastic variance model: a recursive analysis for US inflation
- When long memory meets the Kalman filter: a comparative study
- Fractionally differenced Gegenbauer processes with long memory: a review
- Cointegration analysis with state space models
- State space modeling of Gegenbauer processes with long memory
- On conditional covariance modelling: an approach using state space models
- Sequential Bayesian inference for static parameters in dynamic state space models
- A constrained state space approach for estimating firm efficiency
- Fast state-space methods for inferring dendritic synaptic connectivity
- Local linear estimation for spatial random processes with stochastic trend and stationary noise
- Size change, shape change, and the growth space of a community
- Bayesian inference in nonparametric dynamic state-space models
- Dynamic factor analysis for short panels: estimating performance trajectories for water utilities
- Nonlinear time series analysis since 1990: Some personal reflections
- On the Kalman filter with possibly degenerate and correlated errors
- The marginal likelihood of dynamic mixture models
- Estimation of the monthly unemployment rate for six domains through structural time series modelling with cointegrated trends
- Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling
- Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling
- The ARMA alphabet soup: a tour of ARMA model variants
- Gaussian copula marginal regression
- Information content of high-order associations of the human gut microbiota network
- The dimension-wise quadrature estimation of dynamic latent variable models for count data
- The state of econometrics after John W. Pratt, Robert Schlaifer, Brian Skyrms, and Robert L. Basmann
- Nowcasting with large Bayesian vector autoregressions
- A review on recent advances and applications of h-likelihood method
- Two filtering methods of forecasting linear and nonlinear dynamics of intensive longitudinal data
- Control theory forecasts of optimal training dosage to facilitate children's arithmetic learning in a digital educational application
- A new filtering inference procedure for a GED state-space volatility model
- Markov-switching state space models for uncovering musical interpretation
- Multi-site integrated population modelling
- Bayesian inference for animal space use and other movement metrics
- A Kalman filter method for estimation and prediction of space-time data with an autoregressive structure
- Bayesian nonparametric dynamic state space modeling with circular latent states
- Empirical performance of reduced-form models for emission permit prices
- Charactering neural spiking activity evoked by acupuncture through state-space model
- The SR approach: a new estimation procedure for non-linear and non-Gaussian dynamic term structure models
- Book review of: J. Casals et al., State-space methods for time series analysis. Theory, applications and software
- A new nonlinear formulation for GARCH models
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
- An algorithm for the exact Fisher information matrix of vector ARMAX time series
- Generalized adaptive expectations revisited
- Efficient learning via simulation: a marginalized resample-move approach
- Modeling US housing prices by spatial dynamic structural equation models
- Exact maximum likelihood estimation for non-stationary periodic time series models
- Efficient parallelisation of Metropolis-Hastings algorithms using a prefetching approach
- Nonlinear regime-switching state-space (RSSS) models
- On idiosyncratic stochasticity of financial leverage effects
- Multivariate stochastic volatility with Bayesian dynamic linear models
- Smoothing sample extremes with dynamic models
- Nonstationary dynamic factor analysis
- State space models on special manifolds
- Nonparametric phase-II monitoring for detecting monotone trend based on inverse sampling
- Quantiles, expectiles and splines
- Stochastic model specification search for Gaussian and partial non-Gaussian state space models
- On seasonal functional modeling under strong dependence, with applications to mechanically ventilated breathing activity
- Learning dynamical systems from data: a simple cross-validation perspective. III: Irregularly-sampled time series
- Testing for co-nonlinearity
- Optical Imaging
- Kolmogorov space in time series data
- The Weibull-Dagum distribution: properties and applications
- Is the impact of labor taxes on unemployment asymmetric?
- Estimation of vector error correction models with mixed-frequency data
- Diffuse Restricted Kalman Filtering
- An extension of the Whittaker-Henderson method of graduation
- Estimation of common factors under cross-sectional and temporal aggregation constraints
- Time series analysis by state space methods.
- The multi-state latent factor intensity model for credit rating transitions
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- The macroeconomy and the yield curve: a dynamic latent factor approach
- Restricted Kalman filtering revisited
- Kalman filtering and smoothing for model-based signal extraction that depend on time-varying spectra
- Distributional Kalman filters for Bayesian forecasting and closed form recurrences
- Bayesian estimation of semiparametric nonlinear dynamic factor analysis models using the Dirichlet process prior
- New proposals for the quantification of qualitative survey data
- Estimation of plant demographic parameters from stage-structured censuses
- A new production function estimate of the euro area output gap
- The local quadratic trend model
- Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the euro area
- Inference for the hyperparameters of structural models under classical and Bayesian perspectives: a comparison study
- Transformations and seasonal adjustment
- Bootstrap prediction intervals in state-space models
- The application of the Kalman filter to nonstationary time series through time deformation
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