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Minimally conditioned likelihood for a nonstationary state space model

โœ Scribed by Casals, J.; Sotoca, S.; Jerez, M.


Book ID
122101406
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
473 KB
Volume
100
Category
Article
ISSN
0378-4754

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๐Ÿ“œ SIMILAR VOLUMES


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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