Displaying similar documents to “Initialiting the kalman filter for nonstationary state space models”

The formulation of structural time series models in discrete and continuous time.

Andrew C. Harvey (1983)

Qüestiió

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This paper sets out an approach for modelling univariate time series, including those in which observations are available on a daily basis. An underlying continuous time model is formulated and it is shown that this model has important implications for the way in which a discrete model is set up. It is also shown that the continuous time model allows observations subject to temporal aggregation and irregularly spaced observations to be handled relatively easily. The extension to cases...

Iterative estimators of parameters in linear models with partially variant coefficients

Shaolin Hu, Karl Meinke, Rushan Chen, Ouyang Huajiang (2007)

International Journal of Applied Mathematics and Computer Science

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A new kind of linear model with partially variant coefficients is proposed and a series of iterative algorithms are introduced and verified. The new generalized linear model includes the ordinary linear regression model as a special case. The iterative algorithms efficiently overcome some difficulties in computation with multidimensional inputs and incessantly appending parameters. An important application is described at the end of this article, which shows that this new model is reasonable...

One of the calibration problems

Lubomír Kubáček, Ludmila Kubáčková (1997)

Acta Universitatis Palackianae Olomucensis. Facultas Rerum Naturalium. Mathematica

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