On the Automatic Identification of Unobserved Components Models

DOI10.1007/978-3-030-56219-9_5OpenAlexW3015650799WikidataQ107617908 ScholiaQ107617908MaRDI QIDQ5048329

Diego J. Pedregal, Juan R. Trapero

Publication date: 16 November 2022

Published in: Contributions to Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-56219-9_5

zbMATH Keywords

Kalman filtermaximum likelihoodstate-space systemsunobserved components modelssmoother algorithm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Uses Software

• forecast
• Forecast
• ElemStatLearn
• expsmooth
• SSpace
• CAPTAIN

Cites Work

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• Time series forecasting using a hybrid ARIMA and neural network model
• SSpace
• Forecasting with exponential smoothing. The state space approach
• Recursive Estimation and Time-Series Analysis
• Forecasting Time Series With Complex Seasonal Patterns Using Exponential Smoothing
• A Biometrics Invited Paper. The Analysis and Selection of Variables in Linear Regression

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