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

被引：75

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.

引用

页码：605 / 623

页数：19

共 10 条

[1] NONLINEAR BAYESIAN ESTIMATION USING GAUSSIAN SUM APPROXIMATIONS [J].