Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models

DOI10.2307/2965434zbMath0912.62103OpenAlexW4240735488MaRDI QIDQ4376042

Siem Jan Koopman

Publication date: 8 February 1998

Full work available at URL: https://doi.org/10.2307/2965434

zbMATH Keywords

missing observationslikelihood functionstate spacescore vectordiffuse initial conditionsautoregressive integrated moving average components

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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