| Title:
|
Study on Kalman filter in time series analysis (English) |
| Author:
|
Cipra, Tomáš |
| Author:
|
Motyková, I. |
| Language:
|
English |
| Journal:
|
Commentationes Mathematicae Universitatis Carolinae |
| ISSN:
|
0010-2628 (print) |
| ISSN:
|
1213-7243 (online) |
| Volume:
|
28 |
| Issue:
|
3 |
| Year:
|
1987 |
| Pages:
|
549-563 |
| . |
| Category:
|
math |
| . |
| MSC:
|
60G25 |
| MSC:
|
60G35 |
| MSC:
|
62M09 |
| MSC:
|
62M10 |
| MSC:
|
62M20 |
| idZBL:
|
Zbl 0628.62093 |
| idMR:
|
MR912583 |
| . |
| Date available:
|
2008-06-05T21:30:17Z |
| Last updated:
|
2012-04-28 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/106567 |
| . |
| Reference:
|
[1] AOKI M.: Notes on Economic Time Series Analysis: System Theoretic Perspectives.Springer, Berlin 1983. Zbl 0532.90001, MR 0724430 |
| Reference:
|
[2] CIPRA T.: On improvement of prediction in ARMA processes.Math. Operationsforsch. Statist., Ser. Statistics 12 (1981), 567-580. Zbl 0514.62103, MR 0639253 |
| Reference:
|
[3] FAHRMEIR L.: Rekursive Algorithmen für Zeitreihemodelle, Vandenhoeck und Ruprechft.Göttingen 1981. MR 0615738 |
| Reference:
|
[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. |
| Reference:
|
[5] JAZWINSKI A. H.: Stochastic Processes and Filtering Theory.Academic Press, New York 1970. Zbl 0203.50101 |
| Reference:
|
[6] KALMAN R. E.: A new approach to linear filtering and prediction problems.Trans. ASME, Ser. D, J. Basic Eng. 82 (1960), 35-45. |
| Reference:
|
[7] KALMAN R. E., BUCY R. S.: New results in linear filtering and prediction theory.J. Basic Eng. 83 (1961), 95-108. MR 0234760 |
| Reference:
|
[8] KOHN R., ANSLEY C. F.: Estimation, prediction, and interpolation for ARIMA models with missing data.JASA 81 (1986), 751-761. Zbl 0607.62106, MR 0860509 |
| Reference:
|
[9] MOTYKOVÁ I.: Kalman Filter in Time Series.Diploma Work, Charles University, Prague 1987 (in Czech). |
| Reference:
|
[10] PRIESTLEY M. B.: Spectral Analysis and Time Series (vol. 2: Multivariate series, Prediction and Control).Academic Press, London 1981. MR 0628736 |
| Reference:
|
[11] SCHNEIDER W.: Der Kalmanfilter als Instrument zur Diagnose und Schätzung variabler Parameter in ökonometrischen Modellen.Physica Verlag, Heidelberg 1986. Zbl 0607.62115, MR 0870633 |
| Reference:
|
[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. Zbl 0551.62068, MR 0796865 |
| . |
