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Filtering and smoothing of state vector for diffuse state-space models

Author

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  • S. J. Koopman
  • J. Durbin

Abstract

This paper presents exact recursions for calculating the mean and mean square error matrix of the state vector given the observations for the multi-variate linear Gaussian state-space model in the case where the initial state vector is (partially) diffuse. Copyright 2003 Blackwell Publishing Ltd.

Suggested Citation

  • S. J. Koopman & J. Durbin, 2003. "Filtering and smoothing of state vector for diffuse state-space models," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(1), pages 85-98, January.
  • Handle: RePEc:bla:jtsera:v:24:y:2003:i:1:p:85-98
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    Citations

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    Cited by:

    1. Siem Jan Koopman & Kai Ming Lee, 2009. "Seasonality with trend and cycle interactions in unobserved components models," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 58(4), pages 427-448.
    2. Chen, Xiaoshan & MacDonald, Ronald, 2014. "Measuring the Euro-Dollar Permanent Equilibrium Exchange Rate using the Unobserved Components Model," SIRE Discussion Papers 2015-05, Scottish Institute for Research in Economics (SIRE).
    3. Machado, Vicente da Gama & Portugal, Marcelo Savino, 2014. "Measuring inflation persistence in Brazil using a multivariate model," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 68(2), June.
    4. Chen, Xiaoshan & MacDonald, Ronald, 2010. "Revisiting the Dollar-Euro Permanent Equilibrium Exchange Rate: Evidence from Multivariate Unobserved Components Models," SIRE Discussion Papers 2010-41, Scottish Institute for Research in Economics (SIRE).
    5. Mesters, G. & Koopman, S.J., 2014. "Generalized dynamic panel data models with random effects for cross-section and time," Journal of Econometrics, Elsevier, vol. 180(2), pages 127-140.
    6. T. Berger & G. Everaert, 2006. "Re-examining the Structural and the Persistence Approach to Unemployment," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/383, Ghent University, Faculty of Economics and Business Administration.
    7. Fondeur, Y. & Karamé, F., 2013. "Can Google data help predict French youth unemployment?," Economic Modelling, Elsevier, vol. 30(C), pages 117-125.
    8. Maarten Dossche & Gerdie Everaert, 2005. "Measuring inflation persistence: a structural time series approach," Working Paper Research 70, National Bank of Belgium.
    9. Jungbacker, B. & Koopman, S.J. & van der Wel, M., 2011. "Maximum likelihood estimation for dynamic factor models with missing data," Journal of Economic Dynamics and Control, Elsevier, vol. 35(8), pages 1358-1368, August.
    10. Michal Franta & Branislav Saxa & Katerina Smidkova, 2007. "Inflation Persistence in New EU Member States: Is It Different Than in the Euro Area Members?," Working Papers 2007/10, Czech National Bank, Research Department.
    11. Chen, Xiaoshan & MacDonald, Ronald, 2014. "Measuring the Euro-Dollar Permanent Equilibrium Exchange Rate using the Unobserved Components Model," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-05, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    12. Adrian Pizzinga, 2010. "Constrained Kalman Filtering: Additional Results," International Statistical Review, International Statistical Institute, vol. 78(2), pages 189-208, August.
    13. repec:fgv:epgrbe:v:68:n:2:a:4 is not listed on IDEAS
    14. Xiaoshan Chen & Terence Mills, 2012. "Measuring the Euro area output gap using a multivariate unobserved components model containing phase shifts," Empirical Economics, Springer, vol. 43(2), pages 671-692, October.
    15. Daniel Rees & David Lancaster & Richard Finlay, 2014. "A State-space Approach to Australian GDP Measurement," RBA Research Discussion Papers rdp2014-12, Reserve Bank of Australia.
    16. B. Jungbacker & S.J. Koopman & M. van der Wel, 2009. "Dynamic Factor Analysis in The Presence of Missing Data," Tinbergen Institute Discussion Papers 09-010/4, Tinbergen Institute, revised 11 Mar 2011.
    17. Prashant Srivastava & Dawei Han & Miguel Rico-Ramirez & Deleen Al-Shrafany & Tanvir Islam, 2013. "Data Fusion Techniques for Improving Soil Moisture Deficit Using SMOS Satellite and WRF-NOAH Land Surface Model," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 27(15), pages 5069-5087, December.
    18. Chen, Xiaoshan & MacDonald, Ronald, 2015. "Measuring the dollar–euro permanent equilibrium exchange rate using the unobserved components model," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 20-35.

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