The ARMA model in state space form
暂无分享,去创建一个
[1] Jeremy Penzer,et al. Diagnosing Shocks in Time Series , 1998 .
[2] Petros G. Voulgaris,et al. On optimal ℓ∞ to ℓ∞ filtering , 1995, Autom..
[3] S. Koopman,et al. Disturbance smoother for state space models , 1993 .
[4] R. Fildes. Forecasting structural time series models and the kalman filter: Andrew Harvey, 1989, (Cambridge University Press), 554 pp., ISBN 0-521-32196-4 , 1992 .
[5] P. D. Jong. The Diffuse Kalman Filter , 1991 .
[6] R. Kohn,et al. A fast algorithm for signal extraction, influence and cross-validation in state space models , 1989 .
[7] Piet de Jong,et al. A cross-validation filter for time series models , 1988 .
[8] Piet de Jong,et al. The likelihood for a state space model , 1988 .
[9] P. Whittle. Prediction and Regulation by Linear Least-Square Methods , 1983 .
[10] A. Harvey. Time series models , 1983 .
[11] C. Ansley,et al. The Signal Extraction Approach to Nonlinear Regression and Spline Smoothing , 1983 .
[12] B. Anderson,et al. Optimal Filtering , 1979 .
[13] Andrew Harvey,et al. Maximum likelihood estimation of regression models with autoregressive-moving average disturbances , 1979 .
[14] Barr Rosenberg,et al. The Analysis of a Cross-Section of Time Series by Stochastically Convergent Parameter Regression , 1973 .
[15] P. Young,et al. Time series analysis, forecasting and control , 1972, IEEE Transactions on Automatic Control.
[16] Kenneth F. Wallis,et al. Prediction theory for autoregressivemoving average processes , 1998 .
[17] Neville Davies,et al. Time Series Models, 2nd Edn. , 1995 .
[18] J. Pearlman. An algorithm for the exact likelihood of a high-order autoregressive-moving average process , 1980 .
[19] Fred C. Schweppe,et al. Evaluation of likelihood functions for Gaussian signals , 1965, IEEE Trans. Inf. Theory.
[20] P. Whittle,et al. Prediction and Regulation. , 1965 .
[21] Michael Bretherton,et al. Prediction and Regulation by Linear Least-Square Methods , 1964 .