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zbMath0577.62082MaRDI QIDQ3698121

Robert Kohn, Craig F. Ansley

Publication date: 1984

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

maximum likelihood estimation filtering missing data state space representations modified Kalman filter conditional covariance matrices nonstationary ARIMA model diffuse initial state

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Probabilistic methods, stochastic differential equations (65C99)

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