Bibliography

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

Optimal filtering, Prentice-Hall, Englewood Cliffs.

Brockwell, P. J. and 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. and Wu, L. S. Y. (1996).

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

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

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