A numerically efficient implementation of the expectation maximization algorithm for state space models

DOI10.1016/j.amc.2014.05.021zbMath1335.62137OpenAlexW2083343123MaRDI QIDQ279279

Jens Timmer, Malenka Mader, Björn Schelter, Wolfgang Mader, Linda Sommerlade, Yannick Linke

Publication date: 27 April 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2164/4320

zbMATH Keywords

parameter estimationKalman filterstate-space modelexpectation-maximization algorithm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (3)

EM-based algorithms for autoregressive models with t-distributed innovations ⋮ SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation ⋮ Robust estimation using multivariate t innovations for vector autoregressive models via ECM algorithm

Uses Software

• astsa

Cites Work

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• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• R. A. Fisher and the making of maximum likelihood 1912--1922
• Partial directed coherence: a new concept in neural structure determination
• Evaluation of likelihood functions for Gaussian signals

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