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Exact initial conditions for maximum likelihood estimation of state space models with stochastic inputs

✍ Scribed by José Casals; Sonia Sotoca


Book ID
117333042
Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
56 KB
Volume
57
Category
Article
ISSN
0165-1765

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📜 SIMILAR VOLUMES


The exact likelihood for a state space m
✍ J. Casals; S. Sotoca 📂 Article 📅 2001 🏛 Elsevier Science 🌐 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