Study on Kalman filter in time series analysis

Tomáš Cipra; I. Motyková

Commentationes Mathematicae Universitatis Carolinae (1987)

  • Volume: 028, Issue: 3, page 549-563
  • ISSN: 0010-2628

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Cipra, Tomáš, and Motyková, I.. "Study on Kalman filter in time series analysis." Commentationes Mathematicae Universitatis Carolinae 028.3 (1987): 549-563. <http://eudml.org/doc/17569>.

@article{Cipra1987,
author = {Cipra, Tomáš, Motyková, I.},
journal = {Commentationes Mathematicae Universitatis Carolinae},
keywords = {estimation; prediction; Kalman filter; multivariate time series models; ARMA; missing observations; Numerical simulations},
language = {eng},
number = {3},
pages = {549-563},
publisher = {Charles University in Prague, Faculty of Mathematics and Physics},
title = {Study on Kalman filter in time series analysis},
url = {http://eudml.org/doc/17569},
volume = {028},
year = {1987},
}

TY - JOUR
AU - Cipra, Tomáš
AU - Motyková, I.
TI - Study on Kalman filter in time series analysis
JO - Commentationes Mathematicae Universitatis Carolinae
PY - 1987
PB - Charles University in Prague, Faculty of Mathematics and Physics
VL - 028
IS - 3
SP - 549
EP - 563
LA - eng
KW - estimation; prediction; Kalman filter; multivariate time series models; ARMA; missing observations; Numerical simulations
UR - http://eudml.org/doc/17569
ER -

References

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  1. AOKI M., Notes on Economic Time Series Analysis: System Theoretic Perspectives, Springer, Berlin 1983. (1983) Zbl0532.90001MR0724430
  2. CIPRA T., On improvement of prediction in ARMA processes, Math. Operationsforsch. Statist., Ser. Statistics 12 (1981), 567-580. (1981) Zbl0514.62103MR0639253
  3. FAHRMEIR L., Rekursive Algorithmen für Zeitreihemodelle, Vandenhoeck und Ruprechft, Göttingen 1981. (1981) MR0615738
  4. 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) 
  5. JAZWINSKI A. H., Stochastic Processes and Filtering Theory, Academic Press, New York 1970. (1970) Zbl0203.50101
  6. KALMAN R. E., A new approach to linear filtering and prediction problems, Trans. ASME, Ser. D, J. Basic Eng. 82 (1960), 35-45. (1960) 
  7. KALMAN R. E., BUCY R. S., New results in linear filtering and prediction theory, J. Basic Eng. 83 (1961), 95-108. (1961) MR0234760
  8. KOHN R., ANSLEY C. F., Estimation, prediction, and interpolation for ARIMA models with missing data, JASA 81 (1986), 751-761. (1986) Zbl0607.62106MR0860509
  9. MOTYKOVÁ I., Kalman Filter in Time Series, Diploma Work, Charles University, Prague 1987 (in Czech). (1987) 
  10. PRIESTLEY M. B., Spectral Analysis and Time Series (vol. 2: Multivariate series, Prediction and Control), Academic Press, London 1981. (1981) MR0628736
  11. SCHNEIDER W., Der Kalmanfilter als Instrument zur Diagnose und Schätzung variabler Parameter in ökonometrischen Modellen, Physica Verlag, Heidelberg 1986. (1986) Zbl0607.62115MR0870633
  12. 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

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