Wu, Lilian Shiao-Yen; Pai, Jeffrey S.; Hosking, J.R.M. - In: Statistics & Probability Letters 28 (1996) 2, pp. 99-106
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)