Likelihood functions for state space models with diffuse initial conditions

Journal of Time Series Analysis

Volumn 31, Issue 6, 2010, Pages 407-414

  Francke, Marc K ^a   Koopman, Siem Jan ^b   De Vos Aart, F ^b  

^a UNIVERSITY OF AMSTERDAM   (Netherlands)

^b VU UNIVERSITY AMSTERDAM   (Netherlands)

Author keywords

Diffuse likelihood; Kalman filter; Marginal likelihood; Multivariate time series models; Profile likelihood

Indexed keywords

EID: 77958111947     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2010.00673.x     Document Type: Article

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