Minimally conditioned likelihood for a nonstationary state space model

DOI10.1016/j.matcom.2013.10.006MaRDI QIDQ2229843

José Casals, Sonia Sotoca, Miguel Jerez

Publication date: 18 February 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: http://eprints.ucm.es/14629/1/1204.pdf

zbMATH Keywords

Kalman filter; maximum likelihood; nonstationarity; state-space; diffuse initialization; diffuse likelihood

Mathematics Subject Classification ID

62Mxx: Inference from stochastic processes

65Cxx: Probabilistic methods, stochastic differential equations

Cites Work

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