ESTIMATION, FILTERING, AND SMOOTHING IN STATE-SPACE MODELS WITH INCOMPLETELY SPECIFIED INITIAL CONDITIONS

被引：135

作者：

ANSLEY, CF

KOHN, R

机构：

来源：

关键词：

D O I：

10.1214/aos/1176349739

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

引用

页码：1286 / 1316

页数：31

共 16 条

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ANSLEY, CF
KOHN, R
[J]. JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, 1985, 21 (02) : 135 - 169
[3] Box G.E.P., 1976, TIME SERIES ANAL
[4] MAXIMUM LIKELIHOOD ESTIMATION OF REGRESSION-MODELS WITH AUTOREGRESSIVE-MOVING AVERAGE DISTURBANCES
HARVEY, AC
PHILLIPS, GDA
[J]. BIOMETRIKA, 1979, 66 (01) : 49 - 58
[5] HOCHSTADT H, 1964, DIFFERENTIAL EQUATIO
[6] MAXIMUM-LIKELIHOOD FITTING OF ARMA MODELS TO TIME-SERIES WITH MISSING OBSERVATIONS
JONES, RH
[J]. TECHNOMETRICS, 1980, 22 (03) : 389 - 395
[7] JONES RH, 1983, LECTURE NOTES STATIS, V25, P158
[8] KOHN R, 1983, BIOMETRIKA, V70, P683
[9] KOHN R, 1984, 24 U CHIC STAT RES C
[10] KOHN R, 1983, BIOMETRIKA, V70, P275