An algorithm for estimating parameters of state-space models
We describe an algorithm for estimating the parameters of time-series models expressed in state-space form. The algorithm is based on the EM algorithm, and generalizes an algorithm given by Shumway and Stoffer (1982)
Year of publication: |
1996
|
---|---|
Authors: | Wu, Lilian Shiao-Yen ; Pai, Jeffrey S. ; Hosking, J.R.M. |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 28.1996, 2, p. 99-106
|
Publisher: |
Elsevier |
Keywords: | EM algorithm Kaiman filter Maximum likelihood Time series |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Business planning under uncertainty : will we attain our goal?
Wu, Lilian Shiao-yen, (1992)
-
ALTERNATIVE FREQUENCY AND TIME DOMAIN VERSIONS OF FRACTIONAL BROWNIAN MOTION
Davidson, James, (2008)
-
Reallocation outliers in time series
Wu, L.S.-Y., (1994)
- More ...