Francke, Marc K.; Koopman, Siem Jan; Vos, Aart de - Tinbergen Institute - 2008
State space models with nonstationary processes and fixed regression effects require a state vector with diffuse … diffuse initial conditions. In this paper we consider profile, diffuse and marginal likelihood functions. The marginal … diffuse likelihood is a marginal likelihood for a specific data transformation that may depend on parameters. Therefore, the …