1 citations · 2 across the 7 of their papers we have counts for
7 papers
Revisiting the Two-Filter Formula for Smoothing for State-Space Models
G. Kitagawa
Smoothing algorithms for state-space models, i.e., fixed-interval smoothing, fixed-lag smoothing, and two-filter formula for smoothing, are examined using real examples. For linear…
A Note on the Relation Between Balenzela's Algorithm for Two-Filter Formula for Smoothing and Information Filter
G. Kitagawa
Recent paper by Balenzuela et al. presented an exact algorithm for computing the posterior distribution of current and future observations given the current state, $p(x_n|y_n,\ldot…
Fitting State-space Model for Long-term Prediction of the Log-likelihood of Nonstationary Time Series Models
Genshiro Kitagawa
The goodness of the long-term prediction in the state-space model was evaluated using the squared long-term prediction error. In order to estimate the model parameters suitable for…
An implimentation of the Differential Filter for Computing Gradient and Hessian of the Log-likelihood of Nonstationary Time Series Models
Genshiro Kitagawa
The state-space model and the Kalman filter provide us with unified and computationaly efficient procedure for computing the log-likelihood of the diverse type of time series model…
The Information Criterion GIC of Trend and Seasonal Adjustment Models
Genshiro Kitagawa
This paper presents an algorithm for computing the GIC and the TIC of the nonstationary state-space models. The gradient and Hessian of the log-likelihood neccesary in computing th…
Computation of the Gradient and the Hessian of the Log-likelihood of the State-space Model by the Kalman Filter
G. Kitagawa
The maximum likelihood estimates of an ARMA model can be obtained by the Kalman filter based on the state-space representation of the model. This paper presents an algorithm for co…
Pearson chi^2-divergence Approach to Gaussian Mixture Reduction and its Application to Gaussian-sum Filter and Smoother
Genshiro Kitagawa
The Gaussian mixture distribution is important in various statistical problems. In particular it is used in the Gaussian-sum filter and smoother for linear state-space model with n…