The likelihood for a state space model

DOI10.1093/biomet/75.1.165zbMath0632.62094OpenAlexW2022597142MaRDI QIDQ3769823

Piet de Jong

Publication date: 1988

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/75.1.165

zbMATH Keywords

likelihoodtime seriesKalman filterinitial conditionsstate space model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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