Minimally conditioned likelihood for a nonstationary state space model

DOI10.1016/J.MATCOM.2013.10.006OpenAlexW2004601069MaRDI 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

zbMATH Keywords

Kalman filtermaximum likelihoodnonstationaritystate-spacediffuse initializationdiffuse likelihood

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx) Probabilistic methods, stochastic differential equations (65Cxx)

Cites Work

• Unnamed Item
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• The diffuse Kalman filter
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• Estimation, Prediction, and Interpolation for ARIMA Models with Missing Data
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• INITIALIZING THE KALMAN FILTER FOR NONSTATIONARY TIME SERIES MODELS
• Fast likelihood evaluation and prediction for nonstationary state space models
• Estimation, Prediction, and Interpolation for Nonstationary Series with the Kalman Filter
• Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models
• Filtering and smoothing of state vector for diffuse state-space models

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