Listar Departament: Matemàtiques por autoría "fbc35e99-3f36-401e-97aa-e31ae1602022"
Mostrando ítems 1-5 de 5
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A Kalman filter method for estimation and prediction of space–time data with an autoregressive structure
Lagos Álvarez, Bernardo M.; Padilla-Solis, Leonardo Fabricio; Mateu, Jorge; Ferreira, Guillermo Elsevier (2019-03)We propose a new Kalman filter algorithm to provide a formal statistical analysis of space–time data with an autoregressive structure. The Kalman filter technique allows to capture the temporal dependence as well as the ... -
Bootstrapping regression models with locally stationary disturbances
Ferreira, Guillermo; Mateu, Jorge; Vilar, Jose A.; Muñoz, Joel Springer (2020)A linear regression model with errors following a time-varying process is considered.In this class of models, the smoothness condition both in the trend function and inthe correlation structure of the error term ensures ... -
Estimation and prediction of time-varying GARCH models through a state-space representation: a computational approach
Ferreira, Guillermo; Navarrete Campos, Jean Paul; Rodríguez-Cortés, Francisco Javier; Mateu, Jorge Taylor & Francis (2017-06-05)We propose a state-space approach for GARCH models with time-varying parameters able to deal with non-stationarity that is usually observed in a wide variety of time series. The parameters of the non-stationary model are ... -
Multivariate Kalman filtering for spatio-temporal processes
Ferreira, Guillermo; Mateu, Jorge; Porcu, Emilio Springer (2022)An increasing interest in models for multivariate spatio-temporal processes has been noted in the last years. Some of these models are very flexible and can capture both marginal and cross spatial associations amongst the ... -
Spatio-temporal analysis with short- and long-memory dependence: a state-space approach
Ferreira, Guillermo; Mateu, Jorge; Porcu, Emilio Springer Berlin Heidelberg (2018)This paper deals with the estimation and prediction problems of spatio-temporal processes by using state-space methodology. The spatio-temporal process is represented through an infinite moving average decomposition. This ...