The two-filter formula for smoothing and an implementation of the Gaussian-sum smoother |
| |
Authors: | Genshiro Kitagawa |
| |
Institution: | (1) The Institute of Statistical Mathematics, 4-6-7 Minami-Azabu, Minato-ku, 106 Tokyo, Japan |
| |
Abstract: | A Gaussian-sum smoother is developed based on the two filter formula for smoothing. This facilitates the application of non-Gaussian state space modeling to diverse problems in time series analysis. It is especially useful when a higher order state vector is required and the application of the non-Gaussian smoother based on direct numerical computation is impractical. In particular, applications to the non-Gaussian seasonal adjustment of economic time series and to the modeling of seasonal time series with several outliers are shown. |
| |
Keywords: | Non-Gaussian smoother non-Gaussian filter Gaussian mixture nonstationary time series outliers seasonal adjustment |
本文献已被 SpringerLink 等数据库收录! |