Time series analysis with a skewed kalman filter

Philippe Naveau, Marc G. Genton, Caspar Ammann

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

2 Scopus citations


The analysis of time series has always played a central role in statistics. In this chapter, we focus on temporal state-space models for time series that can be decomposed in a sum of three components: a smooth trend, a skewness part, and noise. The first one is supposed to be deterministic and the other two random. Such time series decompositions are common in paleoclimate studies. The central element of the estimation procedure is the Kalman filter that has to be modified to deal with skewness.

Original languageEnglish (US)
Title of host publicationSkew-Elliptical Distributions and Their Applications
Subtitle of host publicationA Journey Beyond Normality
PublisherCRC Press
Number of pages20
ISBN (Electronic)9780203492000
ISBN (Print)9781584884316
StatePublished - Jan 1 2004

ASJC Scopus subject areas

  • General Mathematics


Dive into the research topics of 'Time series analysis with a skewed kalman filter'. Together they form a unique fingerprint.

Cite this