State‐space Models with Finite Dimensional Dependence

DOI10.1111/1467-9892.00247zbMath0984.62070OpenAlexW2010713201MaRDI QIDQ2784954

Christian Gouriéroux, Joanna Jasiak

Publication date: 24 April 2002

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00247

zbMATH Keywords

predictionfilteringnonlinear canonical correlations

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Measures of association (correlation, canonical correlation, etc.) (62H20) Discrete-time Markov processes on general state spaces (60J05)

Related Items

An efficient nonparametric estimator for models with nonlinear dependence, A Bayesian non-parametric model for small population mortality, Kernel-based nonlinear canonical analysis and time reversibility, Pricing with finite dimensional dependence