Title of article
Exact initial conditions for maximum likelihood estimation of state space models with stochastic inputs
Author/Authors
José Casals، نويسنده , , Sonia Sotoca، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1997
Pages
7
From page
261
To page
267
Abstract
We derive exact expressions for the conditional mean and variance of the initial state of a State Space system with stochastic inputs, under stationarity or non-stationarity. These results provide an initialization method to obtain maximum likelihood estimates of the parameters.
Keywords
State space models , Initial conditions , Stationarity , Kalman filter
Journal title
Economics Letters
Serial Year
1997
Journal title
Economics Letters
Record number
434453
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