J.R.M. Hosking, J.R. Wallis, et al.
Report - UK Institute of Hydrology
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).
J.R.M. Hosking, J.R. Wallis, et al.
Report - UK Institute of Hydrology
J.R.M. Hosking
Journal of Statistical Planning and Inference
Hongxia Yang, J.R.M. Hosking, et al.
Journal of Forecasting
J.R.M. Hosking
Journal of Irrigation and Drainage Engineering