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08-040/4 - Likelihood Functions for State Space Models with Diffuse Initial Conditions


  • Authors
    Marc K. Francke, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam; Aart de Vos, Vrije Universiteit Amsterdam
  • Publication date
    April 14, 2008
  • Keywords
    Diffuse likelihood; Kalman filter; Marginal likelihood; Multivariate time series models; Profile likelihood
  • JEL
    C13; C22; C32