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Kalman filtering from POP-based diagonalization of ARH(1)


  • Ruiz-Medina, M.D.
  • Salmeron, R.
  • Angulo, J.M.


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  • Ruiz-Medina, M.D. & Salmeron, R. & Angulo, J.M., 2007. "Kalman filtering from POP-based diagonalization of ARH(1)," Computational Statistics & Data Analysis, Elsevier, vol. 51(10), pages 4994-5008, June.
  • Handle: RePEc:eee:csdana:v:51:y:2007:i:10:p:4994-5008

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    References listed on IDEAS

    1. Guillas, Serge, 2001. "Rates of convergence of autocorrelation estimates for autoregressive Hilbertian processes," Statistics & Probability Letters, Elsevier, vol. 55(3), pages 281-291, December.
    2. Patrick E. Brown & Gareth O. Roberts & Kjetil F. Kåresen & Stefano Tonellato, 2000. "Blur-generated non-separable space-time models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(4), pages 847-860.
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    Cited by:

    1. Park, Juhyun & Gasser, Theo & Rousson, Valentin, 2009. "Structural components in functional data," Computational Statistics & Data Analysis, Elsevier, vol. 53(9), pages 3452-3465, July.
    2. Bosq, D., 2014. "Computing the best linear predictor in a Hilbert space. Applications to general ARMAH processes," Journal of Multivariate Analysis, Elsevier, vol. 124(C), pages 436-450.
    3. Ruiz-Medina, M.D., 2011. "Spatial autoregressive and moving average Hilbertian processes," Journal of Multivariate Analysis, Elsevier, vol. 102(2), pages 292-305, February.

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