Computing observation weights for signal extraction and filtering

DOI10.1016/S0165-1889(02)00061-1zbMath1206.62157MaRDI QIDQ951360

B. E. Eshmatov

Publication date: 24 October 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

Kalman filterkernelsnonparametric regressionstate spacevector autoregression

Mathematics Subject Classification ID

Related Items (12)

Smoothing Time Series with Local Polynomial Regression on Time ⋮ A Note on Trend Decomposition: The ‘Classical’ Approach Revisited with an Application to Surface Temperature Trends ⋮ Kalman filtering and smoothing for model-based signal extraction that depend on time-varying spectra ⋮ Wiener–Kolmogorov Filtering and Smoothing for Multivariate Series With State–Space Structure ⋮ Computation of asymmetric signal extraction filters and mean squared error for ARIMA component models ⋮ The local quadratic trend model ⋮ Prediction and forecasting in linear models with measurement error ⋮ Forecasting daily time series using periodic unobserved components time series models ⋮ MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION ⋮ Signal extraction and filtering by linear semiparametric methods ⋮ Efficient computation for Whittaker-Henderson smoothing ⋮ Efficient matrix approach for classical inference in state space models

Uses Software

• Ox
• SsfPack
• astsa

Cites Work

• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• Seasonal Adjustment by Signal Extraction
• Smoothness priors analysis of time series
• The Signal Extraction Approach to Nonlinear Regression and Spline Smoothing
• Smoothing and Interpolation with the State-Space Model
• A fast algorithm for signal extraction, influence and cross-validation in state space models
• Decomposition of Seasonal Time Series: A Model for the Census X-11 Program
• Signal extraction and the formulation of unobserved components models
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Computing observation weights for signal extraction and filtering