Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series
Ralph Snyder () and
Studies in Nonlinear Dynamics & Econometrics, 2003, vol. 7, issue 2, 1-20
A Kalman filter for application to stationary or non-stationary time series is proposed. A major feature is a new initialisation method to accommodate non-stationary time series. The filter works on time series with missing values at any point of time including the initialisation phase. It can also be used where a state space model does not satisfy the traditional observability condition, a situation that can arise with seasonal time series.Another feature of the paper is that the Kalman filter is described in terms of the augmented moments of the state vectors, these being an aggregate of means, variances, covariances and other pertinent information. By doing this, the Kalman filter is specified without direct recourse to those relatively complex formulae for calculating associated means and variances found in traditional expositions.A computer implementation of the Kalman filter is also described where the augmented moments are treated as an object; the operations of addition and multiplication are overloaded to work on instances of this object; and a form of statistical conditioning is implemented as an operator.
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
https://www.degruyter.com/view/j/snde.2003.7.2/snd ... .1087.xml?format=INT (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.
Working Paper: Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series (2002)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bpj:sndecm:v:7:y:2003:i:2:n:al1
Ordering information: This journal article can be ordered from
Access Statistics for this article
Studies in Nonlinear Dynamics & Econometrics is currently edited by Bruce Mizrach
More articles in Studies in Nonlinear Dynamics & Econometrics from De Gruyter
Bibliographic data for series maintained by Peter Golla ().