DYNAMIC STATE-SPACE MODELS

DOI10.1111/1467-9892.00299zbMath1113.62112OpenAlexW2007871487MaRDI QIDQ3440780

Wensheng Guo

Publication date: 29 May 2007

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00299

zbMATH Keywords

Kalman filterdynamic modelstate space modelsmoothing filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Filtering in stochastic control theory (93E11)

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