EXACT INITIAL CONDITIONS FOR MAXIMUM-LIKELIHOOD-ESTIMATION OF STATE-SPACE MODELS WITH STOCHASTIC INPUTS

Authors
CASALS J SOTOCA S
Citation
J. Casals et S. Sotoca, EXACT INITIAL CONDITIONS FOR MAXIMUM-LIKELIHOOD-ESTIMATION OF STATE-SPACE MODELS WITH STOCHASTIC INPUTS, Economics letters, 57(3), 1997, pp. 261-267
Citations number
18
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
57
Issue
3
Year of publication
1997
Pages
261 - 267
Database
ISI
SICI code
0165-1765(1997)57:3<261:EICFMO>2.0.ZU;2-I
Abstract
We derive exact expressions for the conditional mean and variance of t he initial state of a State Space system with stochastic inputs, under stationarity or non-stationarity. These results provide an initializa tion method to obtain maximum likelihood estimates of the parameters. (C) 1997 Elsevier Science S.A.