Time-varying state correlations in state space models and their estimation via indirect inference

SSRN Electronic Journal ◽

10.2139/ssrn.3792448 ◽

2021 ◽

Author(s):

Caterina Schiavoni ◽

Siem Jan Koopman ◽

Franz C. Palm ◽

Stephan Smeekes ◽

Jan van den Brakel

Keyword(s):

State Space ◽

State Space Models ◽

Indirect Inference ◽

Download Full-text

Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models using MIDAS Regressions and ARCH Models

Journal of Financial Econometrics ◽

10.1093/jjfinec/nbw013 ◽

2017 ◽

Vol 15 (4) ◽

pp. 509-560 ◽

Author(s):

P. Gagliardini ◽

E. Ghysels ◽

M. Rubin

Keyword(s):

State Space ◽

Stochastic Volatility ◽

State Space Models ◽

Indirect Inference ◽

Arch Models ◽

Mixed Frequency

Download Full-text

Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models Using MIDAS Regressions and ARCH Models

SSRN Electronic Journal ◽

10.2139/ssrn.2713703 ◽

2016 ◽

Author(s):

Patrick Gagliardini ◽

Eric Ghysels ◽

Mirco Rubin

Keyword(s):

State Space ◽

Stochastic Volatility ◽

State Space Models ◽

Indirect Inference ◽

Arch Models ◽

Mixed Frequency

Download Full-text

Robust stability bounds on time-varying perturbations for state-space models of linear discrete-time systems

International Journal of Control ◽

10.1080/00207178908953354 ◽

1989 ◽

Vol 50 (1) ◽

pp. 151-159 ◽

Author(s):

S. R. KOLLA ◽

R. K. YEDAVALLI ◽

J. B. FARISON

Keyword(s):

State Space ◽

Robust Stability ◽

Discrete Time ◽

State Space Models ◽

Time Varying ◽

Discrete Time Systems ◽

Download Full-text

Robust Stability Bounds on Structured Time-Varying Independent Perturbations for Linear State-Space Models

JSME international journal Ser C Dynamics control robotics design and manufacturing ◽

10.1299/jsmec1993.37.733 ◽

1994 ◽

Vol 37 (4) ◽

pp. 733-738 ◽

Author(s):

Jyh-Horng Chou

Keyword(s):

State Space ◽

Robust Stability ◽

State Space Models ◽

Time Varying ◽

Download Full-text

An Optimal FIR Filter for Discrete Time-varying State Space Models

Journal of Institute of Control Robotics and Systems ◽

10.5302/j.icros.2011.17.12.1183 ◽

2011 ◽

Vol 17 (12) ◽

pp. 1183-1187 ◽

Author(s):

Bo-Kyu Kwon

Keyword(s):

State Space ◽

Discrete Time ◽

State Space Models ◽

Time Varying ◽

Optimal Fir Filter

Download Full-text

An Optimal Fixed-lag FIR Smoother for Discrete Time-varying State Space Models

Journal of Institute of Control Robotics and Systems ◽

10.5302/j.icros.2014.13.1946 ◽

2014 ◽

Vol 20 (1) ◽

pp. 1-5 ◽

Author(s):

Bo-Kyu Kwon ◽

Soohee Han

Keyword(s):

State Space ◽

Discrete Time ◽

State Space Models ◽

Download Full-text

Robust ℋ℞ filtering for linear discrete-time state-space models with uncertain time-varying parameters

IEEE International Conference on Acoustics Speech and Signal Processing ◽

10.1109/icassp.2002.5745811 ◽

2002 ◽

Author(s):

Karina A. Barbosa ◽

Alexandre Trofino ◽

Carlos E. de Souza

Keyword(s):

State Space ◽

Discrete Time ◽

State Space Models ◽

Time Varying ◽

Varying Parameters ◽

Time Varying Parameters ◽

Download Full-text

Recursive identification of certain structured time-varying state–space models

IEE Proceedings - Control Theory and Applications ◽

10.1049/ip-cta:19971383 ◽

1997 ◽

Vol 144 (5) ◽

pp. 489-497 ◽

Author(s):

M.H. Moazzam ◽

D.J. Clements ◽

T. Hesketh

Keyword(s):

State Space ◽

State Space Models ◽

Recursive Identification ◽

Download Full-text

A kernel density-based particle filter for state and time-varying parameter estimation in nonlinear state-space models

2017 25th European Signal Processing Conference (EUSIPCO) ◽

10.23919/eusipco.2017.8081492 ◽

2017 ◽

Author(s):

Cheng Cheng ◽

Jean-Yves Tourneret

Keyword(s):

Parameter Estimation ◽

Particle Filter ◽

State Space ◽

Kernel Density ◽

State Space Models ◽

Time Varying ◽

Time Varying Parameter ◽

Nonlinear State Space Models ◽

Nonlinear State

Download Full-text

Gaussian Process State-Space Models with Time-Varying Parameters and Inducing Points

2020 28th European Signal Processing Conference (EUSIPCO) ◽

10.23919/eusipco47968.2020.9287481 ◽

2021 ◽

Author(s):

Yuhao Liu ◽

Petar M. Djuric

Keyword(s):

Gaussian Process ◽

State Space ◽

State Space Models ◽

Time Varying ◽

Varying Parameters ◽

Time Varying Parameters

Download Full-text