The ARMA model in state space form

DOI10.1016/j.spl.2004.08.006zbMath1107.62088OpenAlexW2030552628MaRDI QIDQ868278

Jeremy Penzer, Piet de Jong

Publication date: 2 March 2007

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2004.08.006

zbMATH Keywords

time seriesstate space modelKalman filter smootherfilter steady state

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11)

Related Items (11)

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Cites Work

• Time series: theory and methods
• The diffuse Kalman filter
• The Signal Extraction Approach to Nonlinear Regression and Spline Smoothing
• The likelihood for a state space model
• A fast algorithm for signal extraction, influence and cross-validation in state space models
• Diagnosing Shocks in Time Series
• Evaluation of likelihood functions for Gaussian signals
• Prediction theory for autoregressivemoving average processes
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