Exact initial conditions for maximum likelihood estimation of state space models with stochastic inputs

被引：6
|
作者：
Casals, J [1 ]
Sotoca, S [1 ]
机构：
[1] Univ Complutense, Dept Fundamentos Analisis Econ Econ Cuantitativa, Fac C Econ & Empresariales, Madrid 28223, Spain
来源：
ECONOMICS LETTERS | 1997年 / 57卷 / 03期
关键词：
initial conditions; stationarity; Kalman filter; state space models;
D O I：
10.1016/S0165-1765(97)00180-8
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We derive exact expressions for the conditional mean and variance of the initial state of a State Space system with stochastic inputs, under stationarity or non-stationarity. These results provide an initialization method to obtain maximum likelihood estimates of the parameters. (C) 1997 Elsevier Science S.A.
引用
收藏
页码：261 / 267
页数：7
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