Time series analysis by state space methods
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(only showing first 100 items - show all)- Confidence Intervals for the Hyperparameters in Structural Models
- Filtering and smoothing of state vector for diffuse state-space models
- Random-effect models with singular precision
- Feasible parameter regions for alternative discrete state space models
- New algorithms for dating the business cycle
- Pairwise Likelihood Inference for General State Space Models
- New proposals for the quantification of qualitative survey data
- The Foreman Lecture: the State Space Approach to Time Series Analysis and its Potential for Official Statistics (with Discussion)
- Nonparametric phase-II monitoring for detecting monotone trend based on inverse sampling
- Learning dynamical systems from data: a simple cross-validation perspective. III: Irregularly-sampled time series
- Simulation-based bias correction methods for complex models
- On conditional covariance modelling: an approach using state space models
- The SR approach: a new estimation procedure for non-linear and non-Gaussian dynamic term structure models
- Empirical performance of reduced-form models for emission permit prices
- Mixed effect models for absolute log returns of ultra high frequency data
- Variational Bayesian inference for models with nuisance parameters and an intractable likelihood
- Charactering neural spiking activity evoked by acupuncture through state-space model
- Decomposition of neurological multivariate time series by state space modelling
- An iterated parametric approach to nonstationary signal extraction
- Nowcasting with large Bayesian vector autoregressions
- ADMISSIBLE CLUSTERING OF AGGREGATOR COMPONENTS: A NECESSARY AND SUFFICIENT STOCHASTIC SEMINONPARAMETRIC TEST FOR WEAK SEPARABILITY
- Multi-site integrated population modelling
- Nonlinear time series analysis since 1990: Some personal reflections
- Hyper-spherical and elliptical stochastic cycles
- Generalized adaptive expectations revisited
- Modeling data revisions: measurement error and dynamics of ``true values
- Variational Bayes in State Space Models: Inferential and Predictive Accuracy
- Bayesian analysis of the stochastic conditional duration model
- Extending the State-Space Model to Accommodate Missing Values in Responses and Covariates
- A state space model approach for HIV infection dynamics
- Kalman filter-based modelling and forecasting of stochastic volatility with threshold
- Note on optimization of individual psychotherapeutic processes
- The local quadratic trend model
- Inference for the hyperparameters of structural models under classical and Bayesian perspectives: a comparison study
- Convergence of Discount Time Series Dynamic Linear Models
- scientific article; zbMATH DE number 1302950 (Why is no real title available?)
- Approximate conditional least squares estimation of a nonlinear state-space model via an unscented Kalman filter
- Resolving the ambiguity of random‐effects models with singular precision matrix
- Long memory with stochastic variance model: a recursive analysis for US inflation
- The application of the Kalman filter to nonstationary time series through time deformation
- Time Series Modelling of Daily Tax Revenues
- A nonparametric method for asymmetrically extending signal extraction filters
- Bayesian prior elicitation in DSGE models: macro- vs micropriors
- Regime switching state-space models applied to psychological processes: handling missing data and making inferences
- Bootstrap LR tests of stationarity, common trends and cointegration
- Constrained Kalman filtering: additional results
- Comparison of classical and Bayesian approaches for intervention analysis
- Bayesian inference in nonparametric dynamic state-space models
- On the Kalman filter with possibly degenerate and correlated errors
- Repeated surveys and the Kalman filter
- Feedback quality adjustment with Bayesian state‐space models
- State Space Models and MIDAS Regressions
- Capital adequacy and risk management in banking industry
- Temporal disaggregation by state space methods: Dynamic regression methods revisited
- A dynamic linear model with extended skew-normal for the initial distribution of the state parameter
- The inflation aversion of the Bundesbank: A state space approach
- When long memory meets the Kalman filter: a comparative study
- Using state-space model with regime switching to represent the dynamics of facial electromyography (EMG) data
- Local linear estimation for spatial random processes with stochastic trend and stationary noise
- Dynamic factor analysis for short panels: estimating performance trajectories for water utilities
- The Weibull-Dagum distribution: properties and applications
- A SARIMAX coupled modelling applied to individual load curves intraday forecasting
- MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION
- Stochastic model specification search for Gaussian and partial non-Gaussian state space models
- Confidence of the trembling hand: Bayesian learning with data-limited stocks
- Size change, shape change, and the growth space of a community
- A new production function estimate of the euro area output gap
- Unobserved component models applied to the assessment of wear in railway points: a case study
- Differential equations in data analysis
- Stochastic filtering methods in electronic trading
- State–Space Methods for Time Series Analysis: Theory, Applications and Software, by Jose Casals, Alfredo Garcia‐Hiernaux, Miguel Jerez, Sonia Sotoca, and A. Alexandre Trindade. Published by CRC Press, 2016. Total number of pages: 270. ISBN: 9781482219593
- Estimation of plant demographic parameters from stage-structured censuses
- State space Markov switching models using wavelets
- Fractionally differenced Gegenbauer processes with long memory: a review
- Online prediction of Berlin single-family house prices
- State space modeling of Gegenbauer processes with long memory
- A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates
- Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling
- A review on recent advances and applications of h-likelihood method
- A non-Gaussian family of state-space models with exact marginal likelihood
- The multi-state latent factor intensity model for credit rating transitions
- When are adaptive expectations rational? A generalization
- Simulation estimation of dynamic discrete choice panel models with accelerated importance samplers
- Multivariate discount weighted regression and local level models
- Is the impact of labor taxes on unemployment asymmetric?
- News, volatility and jumps: the case of natural gas futures
- Fitting nonlinear ordinary differential equation models with random effects and unknown initial conditions using the stochastic approximation expectation-maximization (SAEM) algorithm
- Restricted Kalman filtering revisited
- Intervention analysis with state-space models to estimate discontinuities due to a survey redesign
- Posterior mean and variance approximation for regression and time series problems
- Bayesian inference for animal space use and other movement metrics
- Cointegration analysis with state space models
- Dynamic Factor Analysis with Non-Linear Temporal Aggregation Constraints
- Markov-switching state space models for uncovering musical interpretation
- On idiosyncratic stochasticity of financial leverage effects
- Trend–Cycle Decompositions with Correlated Components
- Bayesian interference based only on simulated likelihood particle filter analysis of dynamic economic models
- Quantiles, expectiles and splines
- Improving GDP measurement: a measurement-error perspective
- Likelihood functions for state space models with diffuse initial conditions
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