Fast likelihood evaluation and prediction for nonstationary state space models

Fast likelihood evaluation and prediction for nonstationary state space models

10.1093/biomet/81.1.133

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Bibliographic Details
Main Authors: Jong, P.D., Chu-chun-lin, S.
Other Authors: DECISION SCIENCES
Format: Article
Published: 2013
Subjects:
ARIMA model
Basic structural model
Diffuse
Kalman filter
Likelihood
Nonstationarity
Prediction
State space
Online Access:http://scholarbank.nus.edu.sg/handle/10635/45035
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Institution: National University of Singapore
id sg-nus-scholar.10635-45035
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spelling sg-nus-scholar.10635-450352024-11-08T18:41:51Z Fast likelihood evaluation and prediction for nonstationary state space models Jong, P.D. Chu-chun-lin, S. DECISION SCIENCES ARIMA model Basic structural model Diffuse Kalman filter Likelihood Nonstationarity Prediction State space 10.1093/biomet/81.1.133 Biometrika 81 1 133-142 BIOKA 2013-10-10T04:40:41Z 2013-10-10T04:40:41Z 1994 Article Jong, P.D.,Chu-chun-lin, S. (1994). Fast likelihood evaluation and prediction for nonstationary state space models. Biometrika 81 (1) : 133-142. ScholarBank@NUS Repository. <a href="https://doi.org/10.1093/biomet/81.1.133" target="_blank">https://doi.org/10.1093/biomet/81.1.133</a> 00063444 http://scholarbank.nus.edu.sg/handle/10635/45035 NOT_IN_WOS Scopus
institution National University of Singapore
building NUS Library
continent Asia
country Singapore
Singapore
content_provider NUS Library
collection ScholarBank@NUS
topic ARIMA model
Basic structural model
Diffuse
Kalman filter
Likelihood
Nonstationarity
Prediction
State space
spellingShingle ARIMA model
Basic structural model
Diffuse
Kalman filter
Likelihood
Nonstationarity
Prediction
State space
Jong, P.D.
Chu-chun-lin, S.
Fast likelihood evaluation and prediction for nonstationary state space models
description 10.1093/biomet/81.1.133
author2 DECISION SCIENCES
author_facet DECISION SCIENCES
Jong, P.D.
Chu-chun-lin, S.
format Article
author Jong, P.D.
Chu-chun-lin, S.
author_sort Jong, P.D.
title Fast likelihood evaluation and prediction for nonstationary state space models
title_short Fast likelihood evaluation and prediction for nonstationary state space models
title_full Fast likelihood evaluation and prediction for nonstationary state space models
title_fullStr Fast likelihood evaluation and prediction for nonstationary state space models
title_full_unstemmed Fast likelihood evaluation and prediction for nonstationary state space models
title_sort fast likelihood evaluation and prediction for nonstationary state space models
publishDate 2013
url http://scholarbank.nus.edu.sg/handle/10635/45035
_version_ 1821191188071317504

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