Un método de inicialización del filtrado para modelos en espacio de los estados con inputs estocásticos
- Casals Carro, José
- Sotoca López, Sonia
ISSN: 2341-2356
Ano de publicación: 1996
Número: 10
Páxinas: 1-22
Tipo: Documento de traballo
Outras publicacións en: Documentos de Trabajo (ICAE)
Resumo
We derive exact expressions for the conditional mean and variance of the initial state of a state space system with stochastic inputs, under stationarity or nonstationarity. These results generalize those of De Jong and Chu-Chun-Lin (1994) and provide a useful initialization method to obtain maximum likelihood estimates of the model parameters. As final estimates are sensitive to initial conditions, the presence of stochastic inputs -a frequent situation ín Econometrics- should be considered when computing the mean and variance of the initial state.