INITIALIZING THE KALMAN FILTER FOR NONSTATIONARY TIME SERIES MODELS (Q3985815)
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scientific article; zbMATH DE number 27810
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | INITIALIZING THE KALMAN FILTER FOR NONSTATIONARY TIME SERIES MODELS |
scientific article; zbMATH DE number 27810 |
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INITIALIZING THE KALMAN FILTER FOR NONSTATIONARY TIME SERIES MODELS (English)
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27 June 1992
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Kalman filter
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nonstationary time series
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modified Kalman filter
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transformation approach
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starting values
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initialization
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ARIMA models
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ARIMA component models
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dynamic linear models
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0.9569416
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0.93493015
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0.8982847
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0.8857342
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0.8816551
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