Backward Smoothing for Noisy Non-stationary Time Series

Seisho Sato and Naoto Kunitomo
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Seisho Sato: Graduate School of Economics, University of Tokyo
Naoto Kunitomo: Gendai-Finance-Center, Tokyo Keizai University

No CARF-F-517, CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

Abstract: In this study, we investigate a new smoothing approach to estimate the hidden states of random variables and to handle multiple noisy non-stationary time series data. Kunitomo and Sato (2021) have developed a new method to solve the smoothing problem of hidden random variables, and the resulting separating information maximum likelihood (SIML) method enables the handling of multivariate non-stationary time series. We continue to investigate the filtering problem. In particular, we propose the backward SIML smoothing method and the multi-step smoothing method to address the initial value issue. The resulting filtering methods can be interpreted in the time and frequency domains.

Pages: 26
Date: 2021-07
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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