Wu, L. S.-Y., Pai, J. S., and Hosking, J. R. M. (1996).
An algorithm for estimating parameters of state-space models.
Statistics and Probability Letters, 28, 99-106.
Abstract.
We describe an algorithm for estimating the parameters of
time-series models expressed in state-space form.
The algorithm is based on the EM algorithm,
and generalizes an algorithm given by
R. H. Shumway and D. S. Stoffer ["An approach to time
series smoothing and forecasting using the EM algorithm",
Journal of Time Series Analysis,
3 (1982), 253-264].
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