J.R.M. Hosking
Journal of Statistical Planning and Inference
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
Journal of Statistical Planning and Inference
Hongxia Yang, J.R.M. Hosking, et al.
Journal of Forecasting
A. Lozano, H. Li, et al.
KDD 2009
L.S.Y. Wu, N. Ravishanker, et al.
Journal of Forecasting