The likelihood for a state space model

Piet De Jong*

*Corresponding author for this work

Research output: Contribution to journalArticle

52 Citations (Scopus)

Abstract

This paper derives an expression for the likelihood for a state space model. The expression can be evaluated with the Kalman filter initialized at a starting state estimate of zero and associated estimation error covariance matrix of zero. Adjustment for initial conditions can be made after filtering. Accordingly, initial conditions can be modelled without filtering implications. In particular initial conditions can be modelled as 'diffuse'. The connection between the 'diffuse' and concentrated likelihood is also displayed.

Original languageEnglish
Pages (from-to)165-169
Number of pages5
JournalBiometrika
Volume75
Issue number1
DOIs
Publication statusPublished - Mar 1988
Externally publishedYes

Keywords

  • Kalman filtering
  • Maximum likelihood
  • State space model
  • Time series

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