An algorithm for estimating parameters of state-space models
AbstractWe 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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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 28 (1996)
Issue (Month): 2 (June)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Lasse Bork, 2009.
"Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach,"
CREATES Research Papers
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