J.R.M. Hosking, Nalini Ravishanker
Journal of Time Series Analysis
Paper
An algorithm for estimating parameters of state-space models
Abstract
We describe an algorithm for estimating the parameters of time-series models expressed in state-space form. The algorithm is based on the EM algorithm, and generalizes an algorithm given by Shumway and Stoffer (1982).
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Report - UK Institute of Hydrology