INITIALIZING THE KALMAN FILTER FOR NONSTATIONARY TIME SERIES MODELS
From MaRDI portal
Publication:3985815
DOI10.1111/j.1467-9892.1991.tb00084.xzbMath0736.62080MaRDI QIDQ3985815
Steven C. Hillmer, William R. Bell
Publication date: 27 June 1992
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1991.tb00084.x
Kalman filter; ARIMA models; dynamic linear models; nonstationary time series; initialization; transformation approach; starting values; modified Kalman filter; ARIMA component models
62M20: Inference from stochastic processes and prediction
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