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
The exact likelihood function for a space time model
β Scribed by B. Abraham
- Publisher
- Springer
- Year
- 1983
- Tongue
- English
- Weight
- 179 KB
- Volume
- 30
- Category
- Article
- ISSN
- 0026-1335
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