STATE SPACE MODELS WITH DIFFUSE INITIAL CONDITIONS

DOI10.1111/J.1467-9892.1992.TB00116.XMaRDI QIDQ4021567zbMATH OpenOpenAlexFDO

Authors Pablo Marshall

Publication date 16 January 1993

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1992.tb00116.x

zbMATH Keywords

algorithmdiffuse initial conditionsKalman filterlikelihood functionminimum mean square estimatorsstate space model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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(11)

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• Comments on ``Kalman-filtering methods for computing information matrices for time-invariant, periodic, and generally time-varying VARMA models and samples
• State space calculations for discrete probability densities
• State space models on special manifolds
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• Filtering and smoothing of state vector for diffuse state-space models
• Reml and best linear unbiased prediction in state space models
• Estimability of the linear effects in state space models with an unknown initial condition
• Filtering and smoothing algorithms for state space models

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