The exact likelihood for a state space model with stochastic inputs (Q5948831)
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scientific article; zbMATH DE number 1672055
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| English | The exact likelihood for a state space model with stochastic inputs |
scientific article; zbMATH DE number 1672055 |
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The exact likelihood for a state space model with stochastic inputs (English)
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12 November 2001
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The authors present expressions, both exact and approximate, for the conditional mean and variance of the initial state of a state space model, unit roots and stochastic inputs being allowed. The results obtained provide sufficient conditions for the computation of the exact likelihood using the Kalman filter. The performance of the various criteria is tested using simulation.
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exact maximum likelihood
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Kalman filter
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state space model
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0.94676125
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0.9107492
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0.9022339
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0.8871731
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0.8850348
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0.8816315
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