Fixed interval estimation in state space models when some of the data are missing or aggregated
Copyright policy )Fixed interval estimation in state space models when some of the data are missing or aggregated
Summary: The authors' [ibid. 69, 486-487 (1982; Zbl 0494.93052)] geometrical derivation of the Kalman filter fixed-interval smoothing algorithm is extended to the case where some of the observations are missing or aggregated and the state covariance matrix may be singular. Estimates of missing observations are also obtained. The theory is then applied to the interpolation of missing data in multivariate autoregressive-moving average models.
- University of Chicago United States
fixed-interval smoothing algorithm, multivariate autoregressive-moving average models, singular covariance matrix, aggregation, Data smoothing in stochastic control theory, Kalman filter, interpolation of missing data, Inference from stochastic processes and prediction, Filtering in stochastic control theory
fixed-interval smoothing algorithm, multivariate autoregressive-moving average models, singular covariance matrix, aggregation, Data smoothing in stochastic control theory, Kalman filter, interpolation of missing data, Inference from stochastic processes and prediction, Filtering in stochastic control theory
selected citations These citations are derived from selected sources.This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).20 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Average influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Top 10% impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Average
Citations provided by BIP!Popularity provided by BIP!