Non-Gaussian state space models in decomposition of ice core time series in long and short time-scales

2009 ◽  
pp. n/a-n/a
Author(s):  
Jelena Bojarova ◽  
Rolf Sundberg
Keyword(s):  
Time Series ◽  
State Space ◽  
Time Scales ◽  
Ice Core ◽  
State Space Models ◽  
Gaussian State ◽  
Non Gaussian ◽  
Short Time

Bayesian Inference for Time Series State Space Models

2011 ◽  
pp. 59-124 ◽  
Author(s):  
Paolo Giordani ◽  
Michael Pitt ◽  
Robert Kohn
Keyword(s):  
Time Series ◽  
Particle Filter ◽  
State Space ◽  
Empirical Work ◽  
State Space Models ◽  
Gaussian State ◽  
Advantages And Disadvantages ◽  
Nonlinear State Space Models ◽  
Non Gaussian ◽  
Main Ideas

This article provides a description of time series methods that emphasize modern macroeconomics and finance. It discusses a variety of posterior simulation algorithms and illustrates their use in a range of models. This article introduces the state space framework and explains the main ideas behind filtering, smoothing, and likelihood computation. It also mentions the particle filter as a general approach for estimating state space models and gives a brief discussion of its methods. The particle filter is a very useful tool in the Bayesian analysis of the kinds of complicated nonlinear state space models that are increasingly being used in macroeconomics. It also deals with conditionally Gaussian state space models and non-Gaussian state space models. A discussion of the advantages and disadvantages of each algorithm is provided in this article. This aims to help with the use of these methods in empirical work.

scholarly journals DETECTION LIMITS FOR LINEAR NON-GAUSSIAN STATE-SPACE MODELS

2006 ◽  
Vol 39 (13) ◽  
pp. 282-287 ◽  
Author(s):  
Gustaf Hendeby ◽  
Fredrik Gustafsson
Keyword(s):  
State Space ◽  
Detection Limits ◽  
State Space Models ◽  
Gaussian State ◽  
Non Gaussian

scholarly journals Predicting crypto-currencies using sparse non-Gaussian state space models

2018 ◽  
Vol 37 (6) ◽  
pp. 627-640 ◽  
Author(s):  
Christian Hotz-Behofsits ◽  
Florian Huber ◽  
Thomas Otto Zörner
Keyword(s):  
State Space ◽  
State Space Models ◽  
Gaussian State ◽  
Non Gaussian
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