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Exact Sampling from a Continuous State Space

✍ Scribed by D. J. Murdoch; P. J. Green


Book ID
108536023
Publisher
John Wiley and Sons
Year
1998
Tongue
English
Weight
517 KB
Volume
25
Category
Article
ISSN
0303-6898

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πŸ“œ SIMILAR VOLUMES


The exact likelihood for a state space m
✍ J. Casals; S. Sotoca πŸ“‚ Article πŸ“… 2001 πŸ› Elsevier Science 🌐 English βš– 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