Minimally Conditioned Likelihood for a Nonstationary State Space Model
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References listed on IDEAS
- Marc K. Francke & Siem Jan Koopman & Aart F. de Vos, 2010.
"Likelihood functions for state space models with diffuse initial conditions,"
Journal of Time Series Analysis,
Wiley Blackwell, vol. 31(6), pages 407-414, November.
- Marc K. Francke & Siem Jan Koopman & Aart de Vos, 2008. "Likelihood Functions for State Space Models with Diffuse Initial Conditions," Tinbergen Institute Discussion Papers 08-040/4, Tinbergen Institute.
- Casals, Jose & Jerez, Miguel & Sotoca, Sonia, 2000. "Exact smoothing for stationary and non-stationary time series," International Journal of Forecasting, Elsevier, vol. 16(1), pages 59-69.
- Mauricio, Jose Alberto, 2006. "Exact maximum likelihood estimation of partially nonstationary vector ARMA models," Computational Statistics & Data Analysis, Elsevier, vol. 50(12), pages 3644-3662, August.
More about this item
KeywordsState-space models; Conditional likelihood; Diffuse likelihood; Diffuse initial conditions; Kalman filter; Nonstationarity.;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-04-23 (All new papers)
- NEP-ECM-2012-04-23 (Econometrics)
- NEP-ETS-2012-04-23 (Econometric Time Series)
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