The exact likelihood for a state space m
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J. Casals; S. Sotoca
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Article
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2001
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Elsevier Science
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English
⚖ 547 KB
In this work, we derive exact and approximate expressions for the conditional mean and variance of the initial state of a state space model, allowing for unit roots and stochastic inputs. These results provide adequate initial conditions to compute the exact likelihood using the Kalman filter. The e