Kalman Filter and Time Series

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62690094%3A18450%2F19%3A50015754" target="_blank" >RIV/62690094:18450/19:50015754 - isvavai.cz</a>

Výsledek na webu

<a href="http://uni.uhk.cz/hed/site/assets/files/1073/proceedings_2019_1.pdf" target="_blank" >http://uni.uhk.cz/hed/site/assets/files/1073/proceedings_2019_1.pdf</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Kalman Filter and Time Series

Popis výsledku v původním jazyce

The Kalman filter is one of the classical algorithms of the statistical estimation theory. The filter is applied in a lot of fields. One of them is econometrics, especially its sphere of econometric models in which there is at least one variable which cannot be directly observed and measured. The paper presents the basic features of the Kalman filter and its application in time series analysis. The text specifically focuses on possibilities of transformations of ARMA models into state-space form, and the following application of the Kalman filter in solving problems of prediction, filtering and smoothing. Another issue which is focused on is an application of the Kalman filter in estimating of unknown parameters of time series models. The presented procedures are demonstrated on practical problems which are implemented in the MATLAB environment; the outputs are presented in the text.

Název v anglickém jazyce

Kalman Filter and Time Series

Popis výsledku anglicky

The Kalman filter is one of the classical algorithms of the statistical estimation theory. The filter is applied in a lot of fields. One of them is econometrics, especially its sphere of econometric models in which there is at least one variable which cannot be directly observed and measured. The paper presents the basic features of the Kalman filter and its application in time series analysis. The text specifically focuses on possibilities of transformations of ARMA models into state-space form, and the following application of the Kalman filter in solving problems of prediction, filtering and smoothing. Another issue which is focused on is an application of the Kalman filter in estimating of unknown parameters of time series models. The presented procedures are demonstrated on practical problems which are implemented in the MATLAB environment; the outputs are presented in the text.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

10103 - Statistics and probability

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2019

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Hradec economic days 2019

ISBN

978-80-7435-735-0

ISSN

2464-6059

e-ISSN

2464-6067

Počet stran výsledku

10

Strana od-do

225-234

Název nakladatele

Univerzita Hradec Králové

Místo vydání

Hradec Králové

Místo konání akce

Hradec Králové

Datum konání akce

5. 2. 2019

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000461883000022