An algorithm for estimating parameters of state-space models

Statistics and Probability Letters

Volumn 28, Issue 2, 1996, Pages 99-106

  Wu, Lilian Shiao Yen ^a   Pai, Jeffrey S ^b   Hosking, J R M ^a  

^a IBM RESEARCH   (United States)

^b UNIVERSITY OF BASEL   (Switzerland)

Author keywords

EM algorithm; Kalman filter; Maximum likelihood; Time series

Indexed keywords

EID: 0041720000     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/0167-7152(95)00098-4     Document Type: Article

References (12)

1. de Jong, P. (1989), Smoothing and interpolation with the state-space model, J. Amer. Statist. Assoc. 84, 1085-1088.
2. Dempster, A.P., N.M. Laird and D.B. Rubin (1977), Maximum likelihood from incomplete data via the EM algorithm, J. Roy. Stasist. Soc. Ser. B 39, 1-38.
3. Gupta, N.K. and R.K. Mehra (1974), Computational aspects of maximum likelihood estimation and reduction in sensitivity function calculations, IEEE Trans. Automat. Control, AC-19, 774-783.
4. Harrison, P.J. and C.F. Stevens (1976). Bayesian forecasting, J. Roy. Statist. Soc. Ser. B 38, 205-247.
5. Jazwinski, A.H. (1970), Stochastic Processes and Filtering Theory (Academic Press, New York).
6. Harvey, A.C. (1989), Forecasting, Structural Time Series and the Kalman Filter (Cambridge University Press, Cambridge).
7. Kalman, R.E. (1961), A new approach to linear filtering and prediction problems, Trans. ASME, J. Basic Eng. D-82, 35-45.
8. Kalman, R.E. and R.S. Bucy (1961), New results in linear filtering and prediction theory, Trans. ASME. J. Basic Eng. D-83, 95-108.
9. Shumway, R.H. (1988), Applied Statistical Time Series Analysis (Prentice-Hall, Englewood Cliffs, NJ).
10. Shumway, R.H. and M.J. Katzoff (1991), Adjustment of provisional mortality series: the dynamic linear model with structured measurement errors, J. Amer. Statist. Assoc. 86, 611-617.
11. Shumway, R.H. and D.S. Stoffer (1982), An approach to time series smoothing and forecasting using the EM algorithm, J. Time Series Anal. 3, 253-264.
12. Stoffer, D.S. and K.D. Wall (1991), Bootstrapping state-space models: Gaussian maximum likelihood estimation and the Kalman filter, J. Amer. Statist. Assoc. 86, 1024-1033.