Zhu, Haihong et Wu, Hulin, Estimation of smooth time-varying parameters in state space models, Journal of computational and graphical statistics , 16(4), 2007, pp. 813-832
In this article, we propose a penalized likelihood method to estimate time-varying parameters in standard linear state space models. The time-varying parameter is modeled as a smoothing spline and then expressed as a state space model. The maximum likelihood method is used to estimate the smoothing parameter. The proposed method is assessed by a simulation study and applied to virological response data from an HIV-infected patient receiving antiretroviral treatment.