Minimally conditioned likelihood for a nonstationary state space model
From MaRDI portal
Publication:2229843
DOI10.1016/j.matcom.2013.10.006MaRDI QIDQ2229843
José Casals, Sonia Sotoca, Miguel Jerez
Publication date: 18 February 2021
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: http://eprints.ucm.es/14629/1/1204.pdf
Kalman filter; maximum likelihood; nonstationarity; state-space; diffuse initialization; diffuse likelihood
62Mxx: Inference from stochastic processes
65Cxx: Probabilistic methods, stochastic differential equations