An algorithm for estimating parameters of state-space models

DOI10.1016/0167-7152(95)00098-4MaRDI QIDQ1916235zbMATH OpenOpenAlexFDO

Authors 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

Kalman filterEM algorithmmaximum likelihoodalgorithmtime-series modelsstate-space form

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 40987 (Why is no real title available?)
• scientific article; zbMATH DE number 3545060 (Why is no real title available?)
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• Bootstrapping State-Space Models: Gaussian Maximum Likelihood Estimation and the Kalman Filter
• Computational aspects of maximum likelihood estimation and reduction in sensitivity function calculations
• Smoothing and Interpolation with the State-Space Model
• Stochastic processes and filtering theory

Cited in

(28)

• An algorithm for non-parametric estimation in state-space models
• A numerically efficient implementation of the expectation maximization algorithm for state space models
• Statistical algorithms for models in state space using SsfPack 2.2
• Approximate state space modelling of unobserved fractional components
• Extended stochastic volatility models incorporating realised measures
• On improving sensitivity of the Kalman filter.
• STABLE ALGORITHMS FOR THE STATE SPACE MODEL
• A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics
• Online prediction of Berlin single-family house prices
• An algorithm for estimating parameters of a group of closely spaced random processes: Synthesis, analysis, and modeling
• On an approach to the estimation of the state-variable descriptive parameters for linear continuous-time models
• State-Space Models: From the EM Algorithm to a Gradient Approach
• scientific article; zbMATH DE number 4091302 (Why is no real title available?)
• scientific article; zbMATH DE number 7578275 (Why is no real title available?)
• Nonstationary dynamic factor analysis
• Parameter estimation for LTI state space model
• Estimation for a class of generalized state-space time series models.
• Parameter estimation of state space models for univariate observations
• An efficient algorithm for the transformation of the input-output model into the state-space model
• Parameter Space Restrictions in State Space Models
• scientific article; zbMATH DE number 203081 (Why is no real title available?)
• Review of SsfPack 2.2: statistical algorithms for models in state space
• Likelihood inference in BL-GARCH models
• A State-Space EM Algorithm for Longitudinal Data
• EXPECTATION‐MAXIMIZATION ALGORITHMS AND THE ESTIMATION OF TIME SERIES MODELS IN THE PRESENCE OF OUTLIERS
• Wavelets in state space models
• A nonlinear time series approach to modelling asymmetry in stock market indexes
• EM algorithm for analysing systems with time-varying parameters

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