2 papers
stat.ME2025
Enhancing Seasonal Adjustment Space Models: Constraints and Regularization for Improved Trend and AR Decomposition
Genshiro Kitagawa
This paper investigates enhancements to model-based methods for seasonal adjustment, with a particular focus on the state space modeling framework. It addresses limitations of the…
stat.CO2024
Enhancing Computational Efficiency in State-Space Models Using Rao-Blackwellization and 2-Step Approximation
Genshiro Kitagawa
This paper explores a Bayesian self-organization method for state-space models, enabling simultaneous state and parameter estimation without repeated likelihood calculations. While…