Exact initial kalman filtering and smoothing for nonstationary time series models

Journal of the American Statistical Association

Volumn 92, Issue 440, 1997, Pages 1630-1638

  Koopman, Siem Jan ^a  

^a TILBURG UNIVERSITY   (Netherlands)

Author keywords

Autoregressive integrated moving average component models; Diffuse initial conditions; Likelihood function and score vector; Missing observations; State space

Indexed keywords

EID: 0031319753     PISSN: 01621459     EISSN: 1537274X     Source Type: Journal    
DOI: 10.1080/01621459.1997.10473685     Document Type: Article

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