An algorithm for estimating parameters of state-space models
type: Item
instance of: scholarly article
title: An algorithm for estimating parameters of state-space models
zbMATH Open document ID: 0852.62090
DOI: 10.1016/0167-7152(95)00098-4
author: Lilian Shiao-Yen Wu
author: Jeffrey S. Pai
author: Jonathan R. M. Hosking
published in: Statistics \& Probability Letters
publication date: 1996-07-02T00:00:00Z
Mathematics Subject Classification ID: 62M20
zbMATH DE Number: 896115
zbMATH Keywords: Kalman filter
zbMATH Keywords: maximum likelihood
zbMATH Keywords: algorithm
zbMATH Keywords: time-series models
zbMATH Keywords: state-space form
zbMATH Keywords: EM algorithm
describes a project that uses: DiVinE
MaRDI profile type: Publication
full work available at URL: 0167-7152(95)00098-4
OpenAlex ID: W2046411941
cites work: Smoothing and Interpolation with the State-Space Model
cites work: Q4139463
cites work: Computational aspects of maximum likelihood estimation and reduction in sensitivity function calculations
cites work: Q4120006
cites work: Stochastic processes and filtering theory
cites work: Q3994345
cites work: AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
cites work: Bootstrapping State-Space Models: Gaussian Maximum Likelihood Estimation and the Kalman Filter
description: scientific article; zbMATH DE number 896115