Estimation, Prediction, and Interpolation for Nonstationary Series with the Kalman Filter

DOI10.2307/2290864zbMath0806.62076OpenAlexW4237986746MaRDI QIDQ4305733

Víctor Gómez, Agustin Maravall

Publication date: 16 February 1995

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1814/431

zbMATH Keywords

interpolationestimationtime seriesKalman filtermissing observationsforecastinglikelihood functionARIMA modelsstate-space representationnonstationary seriesARIMA errorsfixed point smootherlikelihood of an autoregressive integrated moving average model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Uses Software

• AS 197

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