Estimability of the linear effects in state space models with an unknown initial condition

DOI10.1111/j.1467-9892.2010.00653.xzbMath1224.62087OpenAlexW2072866936MaRDI QIDQ5391312

Rajesh Selukar

Publication date: 6 April 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00653.x

zbMATH Keywords

Kalman filterdiffuse initial condition

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)

Cites Work

• Fast Filtering and Smoothing for Multivariate State Space Models
• Estimation, filtering, and smoothing in state space models with incompletely specified initial conditions
• The diffuse Kalman filter
• SMOOTHING WITH AN UNKNOWN INITIAL CONDITION
• Smoothing and Interpolation with the State-Space Model
• Estimation, Prediction, and Interpolation for ARIMA Models with Missing Data

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