Estimation, Prediction, and Interpolation for Nonstationary Series with the Kalman Filter (Q4305733)
From MaRDI portal
scientific article; zbMATH DE number 639266
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation, Prediction, and Interpolation for Nonstationary Series with the Kalman Filter |
scientific article; zbMATH DE number 639266 |
Statements
Estimation, Prediction, and Interpolation for Nonstationary Series with the Kalman Filter (English)
0 references
16 February 1995
0 references
likelihood function
0 references
time series
0 references
likelihood of an autoregressive integrated moving average model
0 references
missing observations
0 references
estimation
0 references
forecasting
0 references
ARIMA models
0 references
state-space representation
0 references
Kalman filter
0 references
fixed point smoother
0 references
interpolation
0 references
nonstationary series
0 references
ARIMA errors
0 references
