Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models

DOI10.1111/JTSA.12571zbMath1468.62345OpenAlexW3101047658MaRDI QIDQ4997703

Adrian Pizzinga, Marcelo Fernandes

Publication date: 30 June 2021

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12571

zbMATH Keywords

likelihoodEM algorithmdiffuse initializationexact initial Kalman filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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