An algorithm for estimating parameters of state-space models

Lilian Shiao-Yen Wu, Jeffrey S. Pai and J.R.M. Hosking

Statistics & Probability Letters, 1996, vol. 28, issue 2, 99-106

Abstract: 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)

Keywords: EM; algorithm; Kaiman; filter; Maximum; likelihood; Time; series (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (11)

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