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

View publication

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).

Paper

Discussion: Selection of parameterestimation method for lp3 distribution

J.R.M. Hosking

Journal of Irrigation and Drainage Engineering

Paper

Dynamic latent class model averaging for online prediction

Hongxia Yang, J.R.M. Hosking, et al.

Journal of Forecasting

Paper

Moments or l moments? An example comparing two measures of distributional shape

J.R.M. Hosking

American Statistician

Paper

An appraisal of the regional flood frequency procedure in the uk flood studies report

J.R.M. Hosking, James R. Wallis, et al.

Hydrological Sciences Journal

View all publications

Abstract

Related

Discussion: Selection of parameterestimation method for lp3 distribution

Dynamic latent class model averaging for online prediction

Moments or l moments? An example comparing two measures of distributional shape

An appraisal of the regional flood frequency procedure in the uk flood studies report