THE 2-FILTER FORMULA FOR SMOOTHING AND AN IMPLEMENTATION OF THE GAUSSIAN-SUM SMOOTHER

被引：74
作者：
KITAGAWA, G
机构：
[1] The Institute of Statistical Mathematics, Tokyo, 106, 4-6-7 Minami-Azabu, Minato-ku
来源：
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS | 1994年 / 46卷 / 04期
关键词：
NON-GAUSSIAN SMOOTHER; NON-GAUSSIAN FILTER; GAUSSIAN MIXTURE; NONSTATIONARY TIME SERIES; OUTLIERS; SEASONAL ADJUSTMENT;
D O I：
10.1007/BF00773470
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 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.
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页码：605 / 623
页数：19
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