Lemoine, Matthieu; Pelgrin, Florian - In: Revue de l'OFCE 86 (2003) 3, pp. 203-229
This article details the main concepts, problems and applications related to state-space models. We first present the general framework for these models and we, then, make explicit the algorithms used for the estimation, i.e. the Kalman filter and the EM algorithm. We, finally, analyse four...