A Data-Cleaning Augmented Kalman Filter for Robust Estimation of State Space Models
Year of publication: |
2016
|
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Authors: | Marczak, Martyna |
Other Persons: | Proietti, Tommaso (contributor) ; Grassi, Stefano (contributor) |
Publisher: |
[2016]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Zustandsraummodell | State space model | Zeitreihenanalyse | Time series analysis | Robustes Verfahren | Robust statistics |
Extent: | 1 Online-Ressource (30 p) |
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Series: | CEIS Working Paper ; No. 374 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 29, 2016 erstellt |
Other identifiers: | 10.2139/ssrn.2756074 [DOI] |
Classification: | C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; C63 - Computational Techniques |
Source: | ECONIS - Online Catalogue of the ZBW |
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