Parameter estimation of state space models for univariate observations

DOI10.1016/J.JSPI.2010.01.036zbMath1185.62165OpenAlexW2020504683MaRDI QIDQ963880

Marco Costa, Teresa Alpuim

Publication date: 14 April 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.01.036

zbMATH Keywords

parameter estimationKalman filterstate space modelarea rainfall estimates

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Markov processes: estimation; hidden Markov models (62M05)

Related Items (2)

Bias-correction of Kalman filter estimators associated to a linear state space model with estimated parameters ⋮ Parametric estimation of hidden Markov models by least squares type estimation and deconvolution

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Bayesian forecasting and dynamic models
• Dynamic Generalized Linear Models and Bayesian Forecasting
• Posterior Mode Estimation by Extended Kalman Filtering for Multivariate Dynamic Generalized Linear Models
• Likelihood analysis of non-Gaussian measurement time series
• A state space model for rub-off triangles
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