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stat.ME2022
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…
stat.ME2022
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…
stat.ME2022
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…