Estimation and tests of hypotheses for the initial mean and covariance in the kalman filter model

DOI10.1080/03610928108828137zbMath0472.62095OpenAlexW1991187469MaRDI QIDQ3925754

L. J. Levy, Dale E. Olsen, Robert H. Shumway

Publication date: 1981

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928108828137

zbMATH Keywords

consistencyasymptotic normalitytime seriesmeanlinear modelstestscovariancesiterative maximum likelihood

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Point estimation (62F10)

Related Items (10)

Maximum likelihood mean and covariance matrix estimation constrained to general positive semi-definiteness ⋮ SOME DOUBLY STOCHASTIC TIME SERIES MODELS ⋮ First-order data sensitivity measures with applications to a multivariate signal-plus-noise problem ⋮ Effect of imprecisely known nuisance parameters on estimates of primary parameters ⋮ Nonparametric EM algorithms for estimating prior distributions ⋮ Efficient Monte Carlo computation of Fisher information matrix using prior information ⋮ AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM ⋮ An approximation for analyzing a broad class of implicitly and explicitly defined estimators ⋮ Cyclic seesaw process for optimization and identification ⋮ An implicit function based procedure for analyzing maximum likelihood estimates from nonidentically distributed data

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• Asymptotic Properties of Maximum Likelihood Estimators for the Independent Not Identically Distributed Case
• A NOTE ON THE CONSISTENCY AND MAXIMA OF THE ROOTS OF LIKELIHOOD EQUATIONS

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