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An algorithm for estimating parameters of state-space models


  • Wu, Lilian Shiao-Yen
  • Pai, Jeffrey S.
  • Hosking, J.R.M.


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)

Suggested Citation

  • Wu, Lilian Shiao-Yen & Pai, Jeffrey S. & Hosking, J.R.M., 1996. "An algorithm for estimating parameters of state-space models," Statistics & Probability Letters, Elsevier, vol. 28(2), pages 99-106, June.
  • Handle: RePEc:eee:stapro:v:28:y:1996:i:2:p:99-106

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    Cited by:

    1. Lasse Bork, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," CREATES Research Papers 2009-11, Department of Economics and Business Economics, Aarhus University.
    2. Alonso, Andrés M. & García-Martos, Carolina & Rodríguez, Julio & Sánchez, María Jesús, 2008. "Seasonal dynamic factor analysis and bootstrap inference : application to electricity market forecasting," DES - Working Papers. Statistics and Econometrics. WS ws081406, Universidad Carlos III de Madrid. Departamento de Estadística.
    3. Venter, J.H. & de Jongh, P.J., 2014. "Extended stochastic volatility models incorporating realised measures," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 687-707.
    4. Rainer Schulz & Hizir Sofyan & Axel Werwatz & Rodrigo Witzel, 2003. "Online Prediction of Berlin Single-Family House Prices," Computational Statistics, Springer, vol. 18(3), pages 449-462, September.
    5. repec:spr:stmapp:v:12:y:2003:i:1:d:10.1007_bf02511581 is not listed on IDEAS
    6. Giuseppe Storti & Alessandra Amendola, 2000. "A Non Linear Time Series Approach To Modelling Asymmetry In Stock Market Indexes," Computing in Economics and Finance 2000 97, Society for Computational Economics.


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