Fast estimation methods for time-series models in state-space form

Journal of Statistical Computation and Simulation

Volumn 79, Issue 2, 2009, Pages 121-134

  Garcia Hiernaux, Alfredo ^a   Casals, José ^a   Jerez, Miguel ^a  

^a UNIVERSIDAD COMPLUTENSE DE MADRID   (Spain)

Author keywords

Kalman filter; Maximum likelihood; State space models; Subspace methods; System identification

Indexed keywords

EID: 57349172762     PISSN: 00949655     EISSN: 15635163     Source Type: Journal    
DOI: 10.1080/00949650701617249     Document Type: Article

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