Lilian Shiao-Yen Wu, J.R.M. Hosking, et al.
International Journal of Forecasting
Paper
An algorithm for estimating parameters of state-space models
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).
Related
L.S.Y. Wu, N. Ravishanker, et al.
Journal of Forecasting
J.R.M. Hosking, James R. Wallis, et al.
Hydrological Sciences Journal
Conference paper
Spatial-temporal causal modeling for climate change attribution
A. Lozano, H. Li, et al.
KDD 2009