Study on Kalman filter in time series analysis
Commentationes Mathematicae Universitatis Carolinae (1987)
- Volume: 028, Issue: 3, page 549-563
- ISSN: 0010-2628
Access Full Article
topHow to cite
topReferences
top- AOKI M., Notes on Economic Time Series Analysis: System Theoretic Perspectives, Springer, Berlin 1983. (1983) Zbl0532.90001MR0724430
- CIPRA T., On improvement of prediction in ARMA processes, Math. Operationsforsch. Statist., Ser. Statistics 12 (1981), 567-580. (1981) Zbl0514.62103MR0639253
- FAHRMEIR L., Rekursive Algorithmen für Zeitreihemodelle, Vandenhoeck und Ruprechft, Göttingen 1981. (1981) MR0615738
- GARDNER G., HARVEY A. C., PHILLIPS G. D. A., An algorithm for exact likelihood estimation of autoregressive-moving average models by means of Kalman filtering, Applied Statistics 29 (1980), 311-322. (1980)
- JAZWINSKI A. H., Stochastic Processes and Filtering Theory, Academic Press, New York 1970. (1970) Zbl0203.50101
- KALMAN R. E., A new approach to linear filtering and prediction problems, Trans. ASME, Ser. D, J. Basic Eng. 82 (1960), 35-45. (1960)
- KALMAN R. E., BUCY R. S., New results in linear filtering and prediction theory, J. Basic Eng. 83 (1961), 95-108. (1961) MR0234760
- KOHN R., ANSLEY C. F., Estimation, prediction, and interpolation for ARIMA models with missing data, JASA 81 (1986), 751-761. (1986) Zbl0607.62106MR0860509
- MOTYKOVÁ I., Kalman Filter in Time Series, Diploma Work, Charles University, Prague 1987 (in Czech). (1987)
- PRIESTLEY M. B., Spectral Analysis and Time Series (vol. 2: Multivariate series, Prediction and Control), Academic Press, London 1981. (1981) MR0628736
- SCHNEIDER W., Der Kalmanfilter als Instrument zur Diagnose und Schätzung variabler Parameter in ökonometrischen Modellen, Physica Verlag, Heidelberg 1986. (1986) Zbl0607.62115MR0870633
- SHEA B. L., Maximum likelihood estimation of multivariate ARMA processes via the Kalman filter, in Time Series Analysis (O. D. Anderson ed.), Elsevier Science Publishers, Amsterdam 1984, 91-101. (1984) Zbl0551.62068MR0796865