type="main" xml:id="jtsa12060-abs-0001"This article proposes a flexible set of transformed polynomial functions for modelling the conditional mean of autoregressive processes. These functions enjoy the same approximation theoretic properties of polynomials and, at the same time, ensure that the...

This paper presents exact recursions for calculating the mean and mean square error matrix of the state vector given the observations for the multi-variate linear Gaussian state-space model in the case where the initial state vector is (partially) diffuse. Copyright 2003 Blackwell Publishing Ltd.

State space models with non-stationary processes and/or fixed regression effects require a state vector with diffuse initial conditions. Different likelihood functions can be adopted for the estimation of parameters in time-series models with diffuse initial conditions. In this article, we...