A general fixed-interval smoother with exact initial conditions
| dc.contributor.author | Casals Carro, José | |
| dc.contributor.author | Sotoca López, Sonia | |
| dc.contributor.author | Jerez Méndez, Miguel | |
| dc.date.accessioned | 2023-06-21T01:37:52Z | |
| dc.date.available | 2023-06-21T01:37:52Z | |
| dc.date.issued | 1998 | |
| dc.description.abstract | In this work we derive a relationship between tbe exact fixed-interval smoothed moments and those obtained from an arbitrarily initialized smoother. Combining this result witbh a conventional smoother we obtain a new algoritbm with exact initial conditions, that can be applied to stationary, nonstationary or partially nonstationary systems, with deterministic and/or stochastic inputs. Besides an easy analytical derivation, other advantages of this smoother are its computational efficiency and numerical stability. | |
| dc.description.abstract | En este trabajo se deriva la relación existente entre los momentos exactos de un smoother de intervalo fijo y los momentos obtenidos de un smoother inicializado arbitrariamente. Combinando este resultado con un smoother convencional se obtiene un nuevo algoritmo con condiciones iniciales exactas, que puede ser aplicado a sistemas estacionarios, no estacionarios o parcialmente no estacionarios, con inputs deterministas y/o estocásticos. Además de su fácil derivación analítica, otras ventajas de este nuevo smoother son su eficiencia computacional y su estabilidad numérica. | |
| dc.description.faculty | Fac. de Ciencias Económicas y Empresariales | |
| dc.description.faculty | Instituto Complutense de Análisis Económico (ICAE) | |
| dc.description.refereed | TRUE | |
| dc.description.status | pub | |
| dc.eprint.id | https://eprints.ucm.es/id/eprint/28793 | |
| dc.identifier.relatedurl | http://www.ucm.es/icae | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14352/64205 | |
| dc.issue.number | 04 | |
| dc.language.iso | eng | |
| dc.page.total | 10 | |
| dc.publication.place | Madrid | |
| dc.publisher | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | |
| dc.relation.ispartofseries | Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE) | |
| dc.rights | Atribución-NoComercial-CompartirIgual 3.0 España | |
| dc.rights.accessRights | open access | |
| dc.rights.uri | https://creativecommons.org/licenses/by-nc-sa/3.0/es/ | |
| dc.subject.keyword | State-space models | |
| dc.subject.keyword | Nonstationarity | |
| dc.subject.keyword | Stochastic inputs | |
| dc.subject.keyword | Kalman filter. | |
| dc.subject.ucm | Econometría (Economía) | |
| dc.subject.unesco | 5302 Econometría | |
| dc.title | A general fixed-interval smoother with exact initial conditions | |
| dc.type | technical report | |
| dc.volume.number | 1998 | |
| dcterms.references | Ansley, C.F. and Kohn, R. (1985), "Estimation, Filtering and Smoothing in State Space Models with Incompletely Specified Initial Conditions," Annals of Statistics, 13, 1286-1316. Ansley, C.F. and Kohn, R. (1989), "Filtering and Smoothing in State Space Models with Partially Diffuse Initial Conditions," Journal of Time Series Analysis, 11, 4, 275-293. Casals, J. and Sotoca, S. (1997), "Exact Initial Conclitions for Maximum Likelihood Estimation of State Space Models with Stochastic Inputs," Economics Letters, 57, 261-267. Chan, S. W., Goodwin, G.C. and Sin K.S. (1984), "Convergence Properties of the Riccati Difference Equation in Optimal Filtering of Nonstabilizable Systems," IEEE Transactions on Automatic Control, 29, 2, 110-118. De Jong, P. (1988), "The Likelihood for a State Space Model," Biometrika, 75,1, 165-169. De Jong, P. (1989), "Smoothing and Interpolation with the State-Space Model," Journal of the American Statistical Association, 84, 408, 1085-1088. De Jong, P. (1991a), "Stable Algorithms for the State Space Model," Journal of Time Series Analysis, 12, 2, 143-157. De Jong, P. (1991b), "The Diffuse Kalman Filter," Annals of Statistics, 19, 2, 1073-1083. De Jong, P. and Chu-Chun-Lin, S. (1994a), "Stationary and Non-Stationary State Space Models," Journal of Time Series Analysis, 15,2,151-166. De Jong, P., and Chu-Chun-Lin, S. (1994b), "Fast Likelihood Evaluation and Prediction for Nonstationary State Space Models," Biometrika, 81, 1, 133-142. Ionescu, V., Oara, C. and Weiss, M. (1997), "General Matrix Pencil Techniques for the solution of algebraic Riccati Equations: a Unified Approach," IEEE Transactions on Automatic Control, 42, 8. 1085-1097. Kohn, R. and Ansley, C.F. (1986), "Estimation, Prediction, and Interpolation for ARIMA Models with Missing Data," Journal of the American Statistical Association, 81, 751-761. Kohn, R., and Ansley, C.F. (1987), "Signal Extraction for Finite Nonstationary Time Series," Biometrika, 74, 411-421. Kohn, R. and Ansley, C.F. (1989), "A Fast Algorithm for Signal Extraction, Influence and Cross-Validation in State 8pace Models," Biometrika, 76, 65-79. Rosenberg, B.M. (1973), "The Analysis of a Cross Section of Time Series by Stochastically Convergent Parameter Regression," Annals of Economic and Social Measurement, 2, 4, 399-428. Shumway, R.H. and Stoffer, D.S. (1982), "An Approach to Time Series Smoothing and Forecasting Using the EM Algorithm," Journal of Time Series Analysis, 3, 253-264. Swamy, P.A. V.B., and Tavlas, G.S. (1995), "Random Coefficient Models Theory and Applications," Journal of Economic Surveys, 9, 2, 165-196. | |
| dspace.entity.type | Publication | |
| relation.isAuthorOfPublication | 138478db-3f49-41e4-a76e-ff6d03e56bb8 | |
| relation.isAuthorOfPublication | fdb804b2-ac97-4a0a-bd74-9414c4b86042 | |
| relation.isAuthorOfPublication.latestForDiscovery | 138478db-3f49-41e4-a76e-ff6d03e56bb8 |
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