Exact initial conditions for maximum likelihood estimation of state space models with stochastic inputs

DOI10.1016/S0165-1765(97)00180-8zbMath0903.90020MaRDI QIDQ1127411

José Casals, Sonia Sotoca

Publication date: 13 August 1998

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

Kalman filter; stationarity; state space models; initial conditions

Mathematics Subject Classification ID

91B62: Economic growth models

91B82: Statistical methods; economic indices and measures

Related Items

A fast and stable method to compute the likelihood of time invariant state-space models., An algorithm for the exact Fisher information matrix of vector ARMAX time series

Uses Software

• E4

Cites Work

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• Intervention Analysis with Applications to Economic and Environmental Problems
• STATIONARY AND NON-STATIONARY STATE SPACE MODELS
• Evaluation of likelihood functions for Gaussian signals