An algorithm for estimating parameters of state-space models

DOI10.1016/0167-7152(95)00098-4zbMath0852.62090OpenAlexW2046411941MaRDI QIDQ1916235

Lilian Shiao-Yen Wu, Jeffrey S. Pai, Jonathan R. M. Hosking

Publication date: 2 July 1996

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(95)00098-4

zbMATH Keywords

algorithmEM algorithmKalman filtermaximum likelihoodtime-series modelsstate-space form

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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Uses Software

• DiVinE

Cites Work

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• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• Stochastic processes and filtering theory
• Smoothing and Interpolation with the State-Space Model
• Bootstrapping State-Space Models: Gaussian Maximum Likelihood Estimation and the Kalman Filter
• Computational aspects of maximum likelihood estimation and reduction in sensitivity function calculations

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