IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v22y2001i6p665-678.html
   My bibliography  Save this article

State‐space Models with Finite Dimensional Dependence

Author

Listed:
  • Christian Gourieroux
  • Joann Jasiak

Abstract

We consider nonlinear state‐space models, where the state variable (ζt) is Markov, stationary and features finite dimensional dependence (FDD), i.e. admits a transition function of the type: π(ζt|ζt−1) =π(ζt)a′(ζt)b(ζt−1), where π(ζt) denotes the marginal distribution of ζt, with a finite number of cross‐effects between the present and past values. We discuss various characterizations of the FDD condition in terms of the predictor space and nonlinear canonical decomposition. The FDD models are shown to admit explicit recursive formulas for filtering and smoothing of the observable process, that arise as an extension of the Kitagawa approach. The filtering and smoothing algorithms are given in the paper. JEL. C4.

Suggested Citation

  • Christian Gourieroux & Joann Jasiak, 2001. "State‐space Models with Finite Dimensional Dependence," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(6), pages 665-678, November.
    • Handle: RePEc:bla:jtsera:v:22:y:2001:i:6:p:665-678
    DOI: 10.1111/1467-9892.00247
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1467-9892.00247
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1467-9892.00247?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:22:y:2001:i:6:p:665-678. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.