Filtering and Smoothing Via Estimating Functions

DOI10.2307/2291154zbMath0818.62082OpenAlexW4243220770MaRDI QIDQ4836992

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Publication date: 21 June 1995

Full work available at URL: https://doi.org/10.2307/2291154

zbMATH Keywords

smoothingextended Kalman filterfilteringstate-space modelsestimating equationsnonlinear time series modelsestimating functionscovariatesimulation studiesbinomial logit modelnonlinear and non-Gaussian models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Related Items (12)

Monte Carlo Kalman filter and smoothing for multivariate discrete state space models ⋮ Estimation for partially observed Markov processes ⋮ Optimal estimating functions, quasi-likelihood and statistical modelling ⋮ Zero-modified count time series with Markovian intensities ⋮ Joint estimation using quadratic estimating function ⋮ Nonlinear recursive estimation of volatility via estimating functions ⋮ A higher order correlation unscented Kalman filter ⋮ Inference for random coefficient volatility models ⋮ Generalized duration models and optimal estimation using estimating functions ⋮ State space models on special manifolds ⋮ Second-order Bayesian revision of a generalised linear model ⋮ Filtering via estimating functions

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