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State Space Models

BOOK CHAPTER published 2019 in Applied Time Series Analysis

Authors: Terence C. Mills

State space models and the Kalman filter

BOOK CHAPTER published 22 February 1990 in Forecasting, Structural Time Series Models and the Kalman Filter

Uniform convergence over time of a nested particle filtering scheme for recursive parameter estimation in state-space Markov models

JOURNAL ARTICLE published December 2017 in Advances in Applied Probability

Authors: Dan Crisan | Joaquín Míguez

Estimation, Filtering, and Smoothing in State Space Models with Incompletely Specified Initial Conditions

JOURNAL ARTICLE published 1 December 1985 in The Annals of Statistics

Authors: Craig F. Ansley | Robert Kohn

Maximum Likelihood Estimation for a First‐Order Bifurcating Autoregressive Process with Exponential Errors

JOURNAL ARTICLE published November 2005 in Journal of Time Series Analysis

Authors: J. Zhou | I. V. Basawa

State-Space Models for Binomial Time Series with Excess Zeros

BOOK CHAPTER published 24 January 2018 in Time Series Analysis and Applications

Authors: Fan Tang | Joseph E. Cavanaugh

Asymptotically Efficient Estimation in Semiparametric Generalized Linear Models

JOURNAL ARTICLE published 1 August 1995 in The Annals of Statistics

Authors: Hung Chen

Rank-based estimation for all-pass time series models

JOURNAL ARTICLE published 1 April 2007 in The Annals of Statistics

Authors: Beth Andrews | Richard A. Davis | F. Jay Breidt

Adaptive estimation in time-series models

JOURNAL ARTICLE published 1 April 1997 in The Annals of Statistics

Authors: Feike C. Drost | Chris A. J. Klaassen | Bas J. M. Werker

Optimal Gains of FIR Estimators for a Class of Discrete-Time State-Space Models

JOURNAL ARTICLE published 2008 in IEEE Signal Processing Letters

Authors: Yuriy S. Shmaliy

Reply to “On some problems in the article Efficient Likelihood Estimation in State Space Models” by Cheng-Der Fuh [Ann. Statist. 34 (2006) 2026–2068]

JOURNAL ARTICLE published 1 April 2010 in The Annals of Statistics

Authors: Cheng-Der Fuh

Properties of State Space Models

BOOK CHAPTER published 1987 in Universitext

Authors: Masanao Aoki

LAG WINDOW ESTIMATION OF THE DEGREE OF DIFFERENCING IN FRACTIONALLY INTEGRATED TIME SERIES MODELS

JOURNAL ARTICLE published September 1994 in Journal of Time Series Analysis

Authors: Gemai Chen | Bovas Abraham | Shelton Peiris

State-Space Models

BOOK CHAPTER published in Springer Texts in Statistics

SMC methods for state-space models

BOOK CHAPTER published 21 May 2010 in Time Series

On Particle Methods for Parameter Estimation in State-Space Models

JOURNAL ARTICLE published 1 August 2015 in Statistical Science

Authors: Nikolas Kantas | Arnaud Doucet | Sumeetpal S. Singh | Jan Maciejowski | Nicolas Chopin

State space models

BOOK CHAPTER published 2010 in Macroeconometrics and Time Series Analysis

Authors: Andrew Harvey

STATE TRANSITION SPECIFICATION IN STATE‐SPACE MODELS

JOURNAL ARTICLE published May 1986 in Journal of Time Series Analysis

Authors: Piet de Jong

Generalized Point Models

BOOK CHAPTER published May 2002 in Generalized Point Models in Structural Mechanics

Nonparametric Estimation of a Class of Nonlinear Time Series Models

BOOK CHAPTER published 1991 in Nonparametric Functional Estimation and Related Topics

Authors: M. Pawlak | W. Greblicki