Bibliography

Anderson, B. D. O. & Moore, J. B. (1979).

Optimal filtering, Prentice-Hall, Englewood Cliffs.


Brockwell, P. J. & Davis, R. A. (1991).

Time Series: Theory and Methods, Springer-Verlag, New York.


Harvey, A. C. (1990).

Forecasting, Structural Time Series Models and the Kalman Filter, Cambridge University Press, Cambridge.


Hosking, J. R. M., Pai, J. S. & Wu, L. S. Y. (1996).

An Algorithm for Estimating Parameters of State-Space Models, Statistics & Probability Letters 28: 99-106.


Shumway, R. H. & Stoffer, D. S. (1982).

An Approach to Time Series Smoothing and Forecasting Using the EM Algorithm, Journal of Time Series Analysis 4: 253-263.




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