On computing the expected Fisher information matrix for state-space model parameters

被引：19

作者：

Cavanaugh, JE

Shumway, RH

机构：

[1] UNIV MISSOURI,DEPT STAT,COLUMBIA,MO 65211

[2] UNIV CALIF DAVIS,DIV STAT,DAVIS,CA 95616

来源：

STATISTICS & PROBABILITY LETTERS | 1996年 / 26卷 / 04期

关键词：

EM algorithm; Kalman filter; recursive algorithm; time series;

D O I：

10.1016/0167-7152(95)00031-3

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A general, recursive algorithm is presented for computing the expected Fisher information matrix for state-space model parameters. Simulation results are featured where known Fisher information matrices corresponding to simple state-space models are estimated using both observed and expected information matrices. The accuracy of the two approaches is compared.

引用

页码：347 / 355

页数：9

共 50 条

[31] Specification of initial Kalman recursions of symmetric nonlinear state-space model
Tasi'u, M.
Dikko, H. G.
Shittu, O., I
Fulatan, I. A.
HELIYON, 2020, 6 (10)
[32] A state-space model for univariate ordinal-valued time series
Rizzardi, Mark
NATURAL RESOURCE MODELING, 2008, 21 (02) : 314 - 329
[33] A MATRIX-FREE METHOD FOR SPATIAL-TEMPORAL GAUSSIAN STATE-SPACE MODELS
Mondal, Debashis
Wang, Chunxiao
STATISTICA SINICA, 2019, 29 (04) : 2205 - 2227
[34] State-space TBATS model for container freight rate forecasting with improved accuracy
Munim, Ziaul Haque
MARITIME TRANSPORT RESEARCH, 2022, 3
[35] A SOLUTION TO THE PROBLEM OF CONSTRUCTING A STATE-SPACE MODEL FROM TIME-SERIES
DIRUSCIO, D
HENRIKSEN, R
BALCHEN, JG
MODELING IDENTIFICATION AND CONTROL, 1994, 15 (01) : 55 - 63
[36] Diagnostics subspace identification method of linear state-space model with observation outliers
AlMutawa, Jaafar
IET SIGNAL PROCESSING, 2017, 11 (01) : 73 - 79
[37] State-space of the Vasicek model for long-term bonds with Kalman filter
Mawonike, Romeo
Ikpe, Dennis
Gyamerah, Samuel Asante
INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 2023, 10 (02)
[38] State-space mixing cell model of unsteady solute transport in unsaturated soil
Bidwell, VJ
ENVIRONMENTAL MODELLING & SOFTWARE, 1999, 14 (2-3) : 161 - 169
[39] FAST CONVERGENCE ALGORITHM FOR STATE-SPACE MODEL BASED SPEECH DEREVERBERATION BY MULTI-CHANNEL NON-NEGATIVE MATRIX FACTORIZATION
Togami, Masahito
Komatsu, Tatsuya
2019 IEEE WORKSHOP ON APPLICATIONS OF SIGNAL PROCESSING TO AUDIO AND ACOUSTICS (WASPAA), 2019, : 244 - 248
[40] LEARNING ENDMEMBER DYNAMICS IN MULTITEMPORAL HYPERSPECTRAL DATA USING A STATE-SPACE MODEL FORMULATION
Drumetz, Lucas
Dalla Mura, Mauro
Tochon, Guillaume
Fablet, Ronan
2020 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH, AND SIGNAL PROCESSING, 2020, : 2483 - 2487

← 1 2 3 4 5 →