Stochastic and deterministic trend in state space models

DOI10.1080/03610918.2019.1606240zbMath1497.62238OpenAlexW2942907919WikidataQ127945310 ScholiaQ127945310MaRDI QIDQ5082746

Enrique González-Dávila, Raquel Martín-Rivero, Elisa Jorge-González, Domingo Lorenzo-Díaz

Publication date: 21 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2019.1606240

zbMATH Keywords

trendtime seriesstate space modelslocal level modelslocal linear trend models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Uses Software

• STAMP
• E4

Cites Work

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• Bayesian forecasting and dynamic models.
• Forecasting daily time series using periodic unobserved components time series models
• Estimating the dimension of a model
• Model Selection and Multimodel Inference
• Dynamic Linear Models with R
• A new look at the statistical model identification

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