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Exact initial conditions for maximum likelihood estimation of state space models with stochastic inputs. (English) Zbl 0903.90020

Summary: 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 non-stationarity. These results provide an initialization method to obtain maximum likelihood estimates of the parameters.

MSC:

91B62 Economic growth models
91B82 Statistical methods; economic indices and measures

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References:

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