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The Likelihood for a State Space Model

✍ Scribed by Piet De Jong


Book ID
124289555
Publisher
Oxford University Press
Year
1988
Tongue
English
Weight
567 KB
Volume
75
Category
Article
ISSN
0006-3444

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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