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|Title:||Fast likelihood evaluation and prediction for nonstationary state space models|
Basic structural model
|Source:||Jong, P.D.,Chu-chun-lin, S. (1994). Fast likelihood evaluation and prediction for nonstationary state space models. Biometrika 81 (1) : 133-142. ScholarBank@NUS Repository. https://doi.org/10.1093/biomet/81.1.133|
|Abstract:||SUMMARY: A recursive procedure for initializing the Kalman filter is displayed. The recursion is for nonstationary state space models. The procedure imposes small computational and programming burden over and above the Kalman filter. The procedure is superior to other suggested approaches in both computational speed and general applicability. General properties of the method are investigated. Details of the initialization for the ARIMA (p,d,q) and basic structural models are considered. © 1994 Biometrika Trust.|
|Appears in Collections:||Staff Publications|
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