Time series analysis by state space methods.
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(only showing first 100 items - show all)- Current developments in time series modelling
- Dynamic factor multivariate GARCH model
- The conditionally minimax nonlinear filtering method and modern approaches to state estimation in nonlinear stochastic systems
- Stochastic tail index model for high frequency financial data with Bayesian analysis
- A variational expectation-maximization algorithm for temporal data clustering
- Extended dynamic generalized linear models: the two-parameter exponential family
- Approximation error approach in spatiotemporally chaotic models with application to Kuramoto-Sivashinsky equation
- A note on implementing the Durbin and Koopman simulation smoother
- Measuring financial cycles in a model-based analysis: empirical evidence for the United States and the Euro area
- Accounting for missing values in score-driven time-varying parameter models
- Estimating the positive and negative jumps of asset returns via Kalman filtering. The case of Nasdaq index
- Integrated hierarchical forecasting
- Term structure forecasting in affine framework with time-varying volatility
- Gaussian variational approximation with sparse precision matrices
- On coupling particle filter trajectories
- Spatio-temporal analysis with short- and long-memory dependence: a state-space approach
- Maximum likelihood identification of stable linear dynamical systems
- A method for high-dimensional smoothing
- Disentangling and assessing uncertainties in multiperiod corporate default risk predictions
- Bayesian method for causal inference in spatially-correlated multivariate time series
- A note on low-dimensional Kalman smoothers for systems with lagged states in the measurement equation
- Smoothness priors analysis of time series
- Utilizing data mining techniques to predict expected freeway travel time from experienced travel time
- Correlation integral likelihood for stochastic differential equations
- Varying coefficient functional autoregressive model with application to the U.S. treasuries
- A flexible mixed-frequency vector autoregression with a steady-state prior
- Alternative strategies for the estimation of a disease's basic reproduction number: a model-agnostic study
- Nested adaptation of MCMC algorithms
- Conditional particle filters with diffuse initial distributions
- A closed-form filter for binary time series
- Transfer of macroeconomic shocks in stress tests modeling
- Pursuing collective synchrony in teams: a regime-switching dynamic factor model of speed similarity in soccer
- Dimension reduction in recurrent networks by canonicalization
- Bayesian sequential update for monitoring and control of high-dimensional processes
- A neural network ensemble approach for GDP forecasting
- Seasonality in COVID-19 times
- Optimizing pig marketing decisions under price fluctuations
- A noise-immune Kalman filter for short-term traffic flow forecasting
- Fast and accurate variational inference for models with many latent variables
- The dynamic factor network model with an application to international trade
- Co-existence of trend and value in financial markets: estimating an extended Chiarella model
- Estimating and forecasting the smoking-attributable mortality fraction for both genders jointly in over 60 countries
- Time series modeling with Matlab: the SSpace toolbox
- Identification of spikes in time series
- A flexible particle Markov chain Monte Carlo method
- Perturbation theory for the Fokker-Planck operator in chaos
- Trend of commodity prices and exchange rate in Australian economy: time varying parameter model approach
- SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation
- Collocation based training of neural ordinary differential equations
- The failure of stabilization policy: balanced-budget fiscal rules in the presence of incompressible public expenditures
- Long-term forecasting of El Niño events via dynamic factor simulations
- Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis
- Real and financial cycles: estimates using unobserved component models for the Italian economy
- Efficient matrix approach for classical inference in state space models
- Deep learning algorithm for data-driven simulation of noisy dynamical system
- Dynamic prediction of financial distress based on Kalman filtering
- Surveillance of non-stationary processes
- Estimation of affine term structure models with spanned or unspanned stochastic volatility
- Book review of: J. Casals et al., State-space methods for time series analysis. Theory, applications and software
- Generalized dynamic panel data models with random effects for cross-section and time
- Book review of: R. Douc et al., Nonlinear time series. Theory, methods, and applications with R examples
- Missing observations in observation-driven time series models
- System reduction of dynamic stochastic general equilibrium models solved by \texttt{gensys}
- Efficient use of data for LSTM mortality forecasting
- Simple factor realized stochastic volatility models
- Uncertainty in firm valuation and a cross-sectional misvaluation measure
- Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity
- Searching multiregression dynamic models of resting-state fMRI networks using integer programming
- Bayesian tail risk interdependence using quantile regression
- scientific article; zbMATH DE number 1656905 (Why is no real title available?)
- A flexible state space model and its applications
- Using genetic data to estimate diffusion rates in heterogeneous landscapes
- Multidimensional calibration of crude oil and refined products via semidefinite programming techniques
- Monte Carlo likelihood estimation of mixed-effects state space models with application to HIV dynamics
- State space modeling of multiple time series
- Dynamically Rescaled Hamiltonian Monte Carlo for Bayesian Hierarchical Models
- Data revisions and DSGE models
- Prediction and interpolation of time series by state space models
- Introduction to time series modeling. Translated from the Japanese by the author
- Time series. Modeling, computation, and inference.
- State space modelling versus ARIMA time-series modelling
- The stationary series state space model for sunspot yearly data
- scientific article; zbMATH DE number 3980305 (Why is no real title available?)
- scientific article; zbMATH DE number 4034924 (Why is no real title available?)
- scientific article; zbMATH DE number 48318 (Why is no real title available?)
- Stationarity and ergodicity of univariate generalized autoregressive score processes
- Miscellanea. An improved state space representation for cyclical time series
- Pairs trading with partial cointegration
- The real risk in pension forecasting
- Stochastic filtering methods in electronic trading
- Marginalized approximate filtering of state‐space models
- scientific article; zbMATH DE number 1834018 (Why is no real title available?)
- Time Series and Dynamic Models
- A quadratic Kalman filter
- The Foreman Lecture: the State Space Approach to Time Series Analysis and its Potential for Official Statistics (with Discussion)
- Pairs trading with partial cointegration
- Extensions to the invariance property of maximum likelihood estimation for affine-transformed state-space models
- Stochastic gradient MCMC for state space models
- Seasonality of hospitalizations due to respiratory diseases: modelling serial correlation all we need is Poisson
- Coupling techniques for nonlinear ensemble filtering
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