The likelihood for a state space model

DOI10.1093/BIOMET/75.1.165MaRDI QIDQ3769823zbMATH OpenOpenAlexFDO

Authors Piet de Jong

Publication date 1988

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/75.1.165

zbMATH Keywords

Kalman filterlikelihoodstate space modeltime seriesinitial conditions

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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Cited in

(20)

• Filtering and smoothing of state vector for diffuse state-space models
• Marginal likelihood and unit roots
• INITIALIZING THE KALMAN FILTER FOR NONSTATIONARY TIME SERIES MODELS
• Minimally conditioned likelihood for a nonstationary state space model
• Reml and best linear unbiased prediction in state space models
• Unobserved component models applied to the assessment of wear in railway points: a case study
• The ARMA model in state space form
• Exact initial conditions for maximum likelihood estimation of state space models with stochastic inputs
• Extensions to the invariance property of maximum likelihood estimation for affine-transformed state-space models
• Estimation, filtering, and smoothing in state space models with incompletely specified initial conditions
• Likelihood functions for state space models with diffuse initial conditions
• A fast and stable method to compute the likelihood of time invariant state-space models.
• STATE SPACE MODELS WITH DIFFUSE INITIAL CONDITIONS
• Two filtering methods of forecasting linear and nonlinear dynamics of intensive longitudinal data
• The exact likelihood for a state space model with stochastic inputs
• Recursive estimation in econometrics
• Diffuse Kalman filtering with linear constraints on the state parameters
• Signal extraction and filtering by linear semiparametric methods
• Decomposition of a state-space model with inputs
• Diffuse Restricted Kalman Filtering

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