Ch. 22. Nonlinear and non-gaussian state-space modeling with monte carlo techniques: A survey and comparative study

Handbook of Statistics - Stochastic Processes: Modelling and Simulation ◽

10.1016/s0169-7161(03)21024-5 ◽

2003 ◽

pp. 871-929 ◽

Author(s):

Hisashi Tanizaki

Keyword(s):

Monte Carlo ◽

Comparative Study ◽

State Space ◽

Gaussian State ◽

Monte Carlo Techniques ◽

Space Modeling ◽

State Space Modeling ◽

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Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations

Journal of Econometrics ◽

10.1016/s0304-4076(97)80226-6 ◽

1998 ◽

Vol 83 (1-2) ◽

pp. 263-290 ◽

Author(s):

Hisashi Tanizaki ◽

Roberto S Mariano

Keyword(s):

Monte Carlo ◽

Monte Carlo Simulations ◽

State Space ◽

Gaussian State ◽

Space Modeling ◽

State Space Modeling ◽

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Non-Gaussian State-Space Modeling of Nonstationary Time Series: Comment: Robustness, Computation, and Non-Euclidean Models

Journal of the American Statistical Association ◽

10.2307/2289377 ◽

1987 ◽

Vol 82 (400) ◽

pp. 1044 ◽

Author(s):

R. Douglas Martin ◽

Adrian E. Raftery

Keyword(s):

Time Series ◽

State Space ◽

Nonstationary Time Series ◽

Gaussian State ◽

Space Modeling ◽

State Space Modeling ◽

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Non-Gaussian State-Space Modeling of Nonstationary Time Series: Comment: Detecting and Modeling Changes in Time Series

Journal of the American Statistical Association ◽

10.2307/2289380 ◽

1987 ◽

Vol 82 (400) ◽

pp. 1056 ◽

Author(s):

Ruey S. Tsay

Keyword(s):

Time Series ◽

State Space ◽

Nonstationary Time Series ◽

Gaussian State ◽

Space Modeling ◽

State Space Modeling ◽

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Non-Gaussian State-Space Modeling of Nonstationary Time Series: Comment

Journal of the American Statistical Association ◽

10.2307/2289376 ◽

1987 ◽

Vol 82 (400) ◽

pp. 1041 ◽

Author(s):

Robert Kohn ◽

Craig F. Ansley

Keyword(s):

Time Series ◽

State Space ◽

Nonstationary Time Series ◽

Gaussian State ◽

Space Modeling ◽

State Space Modeling ◽

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Non-Gaussian State—Space Modeling of Nonstationary Time Series

Journal of the American Statistical Association ◽

10.1080/01621459.1987.10478534 ◽

1987 ◽

Vol 82 (400) ◽

pp. 1032-1041 ◽

Author(s):

Genshiro Kitagawa

Keyword(s):

Time Series ◽

State Space ◽

Nonstationary Time Series ◽

Gaussian State ◽

Space Modeling ◽

State Space Modeling ◽

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Non-Gaussian State-Space Modeling of Nonstationary Time Series: Comment

Journal of the American Statistical Association ◽

10.2307/2289379 ◽

1987 ◽

Vol 82 (400) ◽

pp. 1055

Author(s):

Grace Wahba

Keyword(s):

Time Series ◽

State Space ◽

Nonstationary Time Series ◽

Gaussian State ◽

Space Modeling ◽

State Space Modeling ◽

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Non-Gaussian State-Space Modeling of Nonstationary Time Series: Comment

Journal of the American Statistical Association ◽

10.2307/2289378 ◽

1987 ◽

Vol 82 (400) ◽

pp. 1051 ◽

Author(s):

Finbarr O'Sullivan

Keyword(s):

Time Series ◽

State Space ◽

Nonstationary Time Series ◽

Gaussian State ◽

Space Modeling ◽

State Space Modeling ◽

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Non-Gaussian state space modeling of time series

10.1109/cdc.1987.272759 ◽

1987 ◽

Author(s):

Genshiro Kitagawa

Keyword(s):

Time Series ◽

State Space ◽

Gaussian State ◽

Space Modeling ◽

State Space Modeling ◽

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Non-Gaussian State-Space Modeling of Nonstationary Time Series

Journal of the American Statistical Association ◽

10.2307/2289375 ◽

1987 ◽

Vol 82 (400) ◽

pp. 1032 ◽

Author(s):

Genshiro Kitagawa

Keyword(s):

Time Series ◽

State Space ◽

Nonstationary Time Series ◽

Gaussian State ◽

Space Modeling ◽

State Space Modeling ◽

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Non-Gaussian State-Space Modeling of Nonstationary Time Series: Rejoinder

Journal of the American Statistical Association ◽

10.2307/2289381 ◽

1987 ◽

Vol 82 (400) ◽

pp. 1060 ◽

Author(s):

Genshiro Kitagawa

Keyword(s):

Time Series ◽

State Space ◽

Nonstationary Time Series ◽

Gaussian State ◽

Space Modeling ◽

State Space Modeling ◽

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