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