The exact likelihood for a state space model with stochastic inputs

DOI10.1016/S0898-1221(01)00144-4MaRDI QIDQ5948831zbMATH OpenFDO

Authors J. Casals, S. Sotoca

Publication date 12 November 2001

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0898-1221(01)00144-4

zbMATH Keywords

exact maximum likelihoodKalman filterstate space model

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)

Review text

The authors present expressions, both exact and approximate, for the conditional mean and variance of the initial state of a state space model, unit roots and stochastic inputs being allowed. The results obtained provide sufficient conditions for the computation of the exact likelihood using the Kalman filter. The performance of the various criteria is tested using simulation.

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Cites work

• 4SID: Subspace algorithms for the identification of combined deterministic-stochastic systems
• Estimation of dynamic econometric models with errors in variables
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• Evaluation of likelihood functions for Gaussian signals
• Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models
• scientific article; zbMATH DE number 3709465 (Why is no real title available?)
• scientific article; zbMATH DE number 50653 (Why is no real title available?)
• scientific article; zbMATH DE number 65796 (Why is no real title available?)
• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• INITIALIZING THE KALMAN FILTER FOR NONSTATIONARY TIME SERIES MODELS
• STATIONARY AND NON-STATIONARY STATE SPACE MODELS
• The likelihood for a state space model

Cited in

(7)

• Exact initial conditions for maximum likelihood estimation of state space models with stochastic inputs
• A fast and stable method to compute the likelihood of time invariant state-space models.
• Minimally conditioned likelihood for a nonstationary state space model
• Explicit vector expression of exact score for time series models in state space form
• The likelihood for a state space model
• Computing exact score vectors for linear Gaussian state space models
• Single and multiple error state-space models for signal extraction

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