The likelihood for a state space model

DOI10.1093/BIOMET/75.1.165zbMATH Open0632.62094OpenAlexW2022597142MaRDI QIDQ3769823FDOQ3769823

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

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zbMATH Keywords

Kalman filterlikelihoodstate space modeltime seriesinitial conditions

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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• Decomposition of a state-space model with inputs
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