Smoothing and Interpolation with the State-Space Model
From MaRDI portal
Publication:3481129
DOI10.2307/2290087zbMath0702.62093OpenAlexW4254419452MaRDI QIDQ3481129
Publication date: 1989
Full work available at URL: https://doi.org/10.2307/2290087
Related Items
Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints ⋮ Inferring monetary policy objectives with a partially observed state ⋮ Restricted Kalman filtering revisited ⋮ Optimization methods in time series interpolation ⋮ A direct derivation of the interpolation smoother ⋮ Detecting shocks: Outliers and breaks in time series ⋮ An algorithm for estimating parameters of state-space models ⋮ Latent periodicity-2 in coronavirus SARS-CoV-2 genome: evolutionary implications ⋮ Combining Bayesian method and Kalman smoother for detection additive outlier patches in autoregressive time series ⋮ Kalman filter with outliers and missing observations ⋮ Smoothing Time Series with Local Polynomial Regression on Time ⋮ Diffuse Kalman filtering with linear constraints on the state parameters ⋮ State space models for time series with patches of unusual observations ⋮ Dynamic spatial regression models for space‐varying forest stand tables ⋮ Estimating stochastic volatility models using realized measures ⋮ An algorithm for the exact Fisher information matrix of vector ARMAX time series ⋮ State‐space models for multivariate longitudinal data of mixed types ⋮ Bootstrap for correcting the mean square error of prediction and smoothed estimates in structural models ⋮ Estimability of the linear effects in state space models with an unknown initial condition ⋮ Benchmarking by State Space Models ⋮ Multivariate DLMs for forecasting financial time series, with application to the management of portfolios ⋮ Dynamic factor analysis for short panels: estimating performance trajectories for water utilities ⋮ Nonparametric smoothing using state space techniques ⋮ Computing observation weights for signal extraction and filtering ⋮ Forecasting the US unemployment rate ⋮ A structural model with interventions for New Zealand sawn timber production ⋮ Missing data in time series: a note on the equivalence of the dummy variable and the skipping approaches ⋮ Multivariate temporal disaggregation with cross-sectional constraints ⋮ Recursive estimation in econometrics ⋮ An improved Akaike information criterion for state-space model selection ⋮ Structural Time Series Models with Feedback Mechanisms ⋮ STABLE ALGORITHMS FOR THE STATE SPACE MODEL ⋮ Diagnosing seasonal shifts in time series using state space models ⋮ A note on low-dimensional Kalman smoothers for systems with lagged states in the measurement equation ⋮ Prediction and forecasting in linear models with measurement error ⋮ On the Model-Based Interpretation of Filters and the Reliability of Trend–Cycle Estimates ⋮ Further investigation into restricted Kalman filtering ⋮ Single and multiple error state-space models for signal extraction ⋮ Signal extraction and filtering by linear semiparametric methods ⋮ Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models ⋮ The reverse kalman filter ⋮ Temporal disaggregation by state space methods: Dynamic regression methods revisited ⋮ Forecasting Runoff Triangles ⋮ A synopsis of the smoothing formulae associated with the Kalman filter ⋮ Local scale models. State space alternative to integraded GARCH processes ⋮ Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
