Francke, Marc K.; Koopman, Siem Jan; Vos, Aart F. de - In: Journal of Time Series Analysis 31 (2010) 6, pp. 407-414
State space models with non-stationary processes and/or fixed regression effects require a state vector with diffuse initial conditions. Different likelihood functions can be adopted for the estimation of parameters in time-series models with diffuse initial conditions. In this article, we...