×
Shumway, R. H.; Stoffer, D. S.

An approach to time series smoothing and forecasting using the EM algorithm. (English) Zbl 0502.62085

J. Time Ser. Anal. 3, 253-264 (1982).
Page: −5 −4 −3 −2 −1 ±0 +1 +2 +3 +4 +5 Show Scanned Page
scan of Zbl 0502.62085

Cited in 4 Reviews
Cited in 159 Documents

MSC:

62M20 Inference from stochastic processes and prediction
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
93E11 Filtering in stochastic control theory

Keywords:

smoothing; forecasting; EM algorithm; state-space model; recursive procedure; missing data; maximum likelihood
Cite Review PDF
Full Text: DOI

References:

[1] Anderson T. W., The Statistical Analysis of Time Series (1971) · Zbl 0225.62108
[2] DOI: 10.2307/2286668 · doi:10.2307/2286668
[3] Box G. E. P., Time Series Analysis. Forecasting, and Control (1970) · Zbl 0249.62009
[4] Boyles R. A., Convergence Results for the EM Algorithm (1980)
[5] Brown R. G., Smoothing, Forecasting, and Prediction of Discrete Time Series (1963)
[6] Dempster A. P., J. R. Statist. Soc. B 39 pp 1– (1977)
[7] DOI: 10.1109/TAC.1979.1102037 · Zbl 0408.93041 · doi:10.1109/TAC.1979.1102037
[8] DOI: 10.1109/TAC.1974.1100714 · Zbl 0291.93069 · doi:10.1109/TAC.1974.1100714
[9] Hannan E. J., Multiple Time Series (1970) · Zbl 0211.49804 · doi:10.1002/9780470316429
[10] Harvey A. C., Biometrika 66 pp 49– (1979)
[11] C. C. Holt (1957 ) Forecasting Seasonal and Trends by Exponentially Weighted Moving Averages. Carnegie Inst. of Technology, Pittsburgh, Pennsylvania.
[12] Jazwinski A. H., Stochastic Processes and Filtering Theory (1970) · Zbl 0203.50101
[13] Jones R. H., J. R. Statist. Soc. B 1 pp 241– (1966)
[14] DOI: 10.2307/1268324 · Zbl 0451.62069 · doi:10.2307/1268324
[15] Kalman R. E., Trans. ASME J. of Basic Eng. 8 pp 35– (1960) · doi:10.1115/1.3662552
[16] Kalman R. E., Trans. ASME J. of Basic Eng. 83 pp 95– (1961) · doi:10.1115/1.3658902
[17] Kendall M. G., Time Series (1973)
[18] DOI: 10.1080/03610927908827825 · Zbl 0408.62074 · doi:10.1080/03610927908827825
[19] Makridakis S., Interactive Forecasting (1978)
[20] Meltzer A., Develop Physician and Physician Extender Data Bases (1980)
[21] Morrison G. W., Management Science 23 pp 768– (1977)
[22] DOI: 10.1080/03610928108828137 · Zbl 0472.62095 · doi:10.1080/03610928108828137
[23] Shumway R. H., Time Series Smoothing and Forecasting Using the EM Algorithm (1981)
[24] D. S. Stoffer (1982 ) Estimation of Parameters in a Linear Dynamic System with Missing Observations . Ph.D. Dissertation , University of California, Davis.
[25] P. R. Winters (1960 ) Forecasting sales by exponentially weighted moving averages . Management ScienceApril, 324 -342 . · Zbl 0995.90562
[26] Wu C. F., On the Convergence of the EM Algorithm (1981)
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.