An algorithm for estimating parameters of state-space models

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

doi:10.1016/0167-7152(95)00098-4

Statistics and Probability Letters

Paper

15 Jun 1996

An algorithm for estimating parameters of state-space models

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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).

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