The exact likelihood for a state space model with stochastic inputs

DOI10.1016/S0898-1221(01)00144-4zbMath0983.93067MaRDI QIDQ5948831

Sonia Sotoca, José Casals

Publication date: 12 November 2001

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

zbMATH Keywords

Kalman filterexact maximum likelihoodstate space model

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10)

Related Items (1)

Single and multiple error state-space models for signal extraction

Uses Software

• E4

Cites Work

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• Estimation, filtering, and smoothing in state space models with incompletely specified initial conditions
• Estimation of dynamic econometric models with errors in variables
• 4SID: Subspace algorithms for the identification of combined deterministic-stochastic systems
• The likelihood for a state space model
• INITIALIZING THE KALMAN FILTER FOR NONSTATIONARY TIME SERIES MODELS
• STATIONARY AND NON-STATIONARY STATE SPACE MODELS
• Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models
• Evaluation of likelihood functions for Gaussian signals

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