STATE SPACE MODELS WITH DIFFUSE INITIAL CONDITIONS

Pablo Marshall

Journal of Time Series Analysis, 1992, vol. 13, issue 5, 411-414

Abstract: Abstract. A state space model with diffuse initial conditions is considered. A simple and direct proof of the algorithm for computing the likelihood function and minimum mean square estimators of the state is given

Date: 1992
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:13:y:1992:i:5:p:411-414

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