Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series
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Other versions of this item:
- Snyder Ralph D & Forbes Catherine S, 2003. "Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(2), pages 1-20, July.
References listed on IDEAS
- Harvey,Andrew C., 1991.
"Forecasting, Structural Time Series Models and the Kalman Filter,"
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Cambridge University Press, number 9780521405737, October.
- Harvey,Andrew C., 1990. "Forecasting, Structural Time Series Models and the Kalman Filter," Cambridge Books, Cambridge University Press, number 9780521321969, October.
- S. J. Koopman & J. Durbin, 2000.
"Fast Filtering and Smoothing for Multivariate State Space Models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 21(3), pages 281-296, May.
- Koopman, S.J.M. & Durbin, J., 1998. "Fast Filtering and Smoothing for Multivariate State Space Models," Discussion Paper 1998-18, Tilburg University, Center for Economic Research.
- Koopman, S.J.M. & Durbin, J., 1998. "Fast Filtering and Smoothing for Multivariate State Space Models," Other publications TiSEM 3ca0d14b-21ad-427f-8631-e, Tilburg University, School of Economics and Management.
- Everette S. Gardner, Jr. & Ed. Mckenzie, 1985. "Forecasting Trends in Time Series," Management Science, INFORMS, vol. 31(10), pages 1237-1246, October.
- Ralph D. Snyder & Grant R. Saligari, 1996. "Initialization Of The Kalman Filter With Partially Diffuse Initial Conditions," Journal of Time Series Analysis, Wiley Blackwell, vol. 17(4), pages 409-424, July.
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Cited by:
- Rob Hyndman & Muhammad Akram & Blyth Archibald, 2008. "The admissible parameter space for exponential smoothing models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 60(2), pages 407-426, June.
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More about this item
Keywords
Time series analysis; forecasting; Kalman filter; State space models; Object-oriented programming.;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2002-10-23 (Econometrics)
- NEP-ETS-2002-10-23 (Econometric Time Series)
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