• DocumentCode
    3089177
  • Title

    Non-Gaussian state space modeling of time series

  • Author

    Kitagawa, G.

  • Author_Institution
    The Institute of Statistical Mathematics, Tokyo, Japan
  • Volume
    26
  • fYear
    1987
  • fDate
    9-11 Dec. 1987
  • Firstpage
    1700
  • Lastpage
    1705
  • Abstract
    A non Gaussian state space approach to the analysis of time series is shown. The model is expressed in general state space form which is expressed by a conditional distributions. General non-Gaussian filtering and smoothing formulae are shown and two numerical approximations to related distributions are used to realize these formulae. Significant merit of non Gaussian modeling is illustrated by some numerical examples.
  • Keywords
    Bayesian methods; Filtering algorithms; Gaussian distribution; Gaussian noise; Mathematical model; Mathematics; Nonlinear filters; Smoothing methods; State-space methods; Time series analysis;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 1987. 26th IEEE Conference on
  • Conference_Location
    Los Angeles, California, USA
  • Type

    conf

  • DOI
    10.1109/CDC.1987.272759
  • Filename
    4049588
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3089177