S.M.S. Shah, P.E. O'Connell, et al.
Journal of Hydrology
Paper
An algorithm for estimating parameters of state-space models
Abstract
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).
Related
J.R.M. Hosking, Nalini Ravishanker
Journal of Time Series Analysis
J.R.M. Hosking, N. Balakrishnan
Statistical Methodology
J.R.M. Hosking
Journal of Statistical Planning and Inference