Repeated surveys and the Kalman filter

DOI10.1111/J.1368-423X.2005.00172.XzbMath1078.62101MaRDI QIDQ3367414

Jo Thori Lind

Publication date: 24 January 2006

Published in: The Econometrics Journal (Search for Journal in Brave)

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Related Items (5)

Estimation of the monthly unemployment rate for six domains through structural time series modelling with cointegrated trends ⋮ Intervention analysis with state-space models to estimate discontinuities due to a survey redesign ⋮ Repeated surveys and the Kalman filter ⋮ Maximum likelihood estimation of linear stochastic systems in the class of sequential square-root orthogonal filtering methods ⋮ On scalarized calculation of the likelihood function in array square-root filtering algorithms

Cites Work

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• Fast Filtering and Smoothing for Multivariate State Space Models
• Repeated surveys and the Kalman filter
• Filtering and smoothing of state vector for diffuse state-space models

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