INITIALIZING THE KALMAN FILTER FOR NONSTATIONARY TIME SERIES MODELS

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

zbMATH Keywords

Kalman filter; ARIMA models; dynamic linear models; nonstationary time series; initialization; transformation approach; starting values; modified Kalman filter; ARIMA component models

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

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