Decomposition of time series models in state-space form

DOI10.1016/j.csda.2004.12.012zbMath1445.62224OpenAlexW2008766287MaRDI QIDQ959310

E. J. Godolphin, Kostas Triantafyllopoulos

Publication date: 11 December 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2004.12.012

zbMATH Keywords

Kalman filteringstate-space modelsgeneralized linear modelsBayesian forecastingdynamic modelsdecompositions of time series

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Generalized linear models (logistic models) (62J12)

Related Items (11)

Autoregressive and moving average models for zero‐inflated count time series ⋮ Dynamic Bayesian beta models ⋮ Dynamic Bayesian analysis of generalized odds ratios assuming multivariate skew-normal distribution for the error terms in the system equation ⋮ A NON‐GAUSSIAN FAMILY OF STATE‐SPACE MODELS WITH EXACT MARGINAL LIKELIHOOD ⋮ Multivariate discount weighted regression and local level models ⋮ Editorial: 2nd special issue on statistical signal extraction and filtering ⋮ Signal extraction and filtering by linear semiparametric methods ⋮ Posterior mean and variance approximation for regression and time series problems ⋮ Parallel tempering for dynamic generalized linear models ⋮ Bayesian Dynamic Dirichlet Models ⋮ BLIND SIGNAL SEPARATION OF MIXTURES OF CHAOTIC PROCESSES: A COMPARISON BETWEEN INDEPENDENT COMPONENT ANALYSIS AND STATE SPACE MODELING

Uses Software

• Fahrmeir

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Bayesian forecasting and dynamic models.
• Recursive estimation in econometrics
• Multivariate statistical modelling based on generalized linear models. With contributions by Wolfgang Hennevogl
• Trend estimation and de-trending via rational square-wave filters
• Smoothness priors analysis of time series
• A Parametric Dynamic Survival Model Applied to Breast Cancer Survival Times
• An ARIMA-Model-Based Approach to Seasonal Adjustment
• Bayesian analysis of regression problems
• Miscellanea. Time series decomposition
• Decomposition of Time Series Dynamic Linear Models
• Observable trend-projecting state-space models
• Dynamic Bayesian Models for Survival Data
• Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives

This page was built for publication: Decomposition of time series models in state-space form