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Estimation and tests of hypotheses for the initial mean and covariance in the Kalman filter model. (English) Zbl 0472.62095


MSC:

62M20 Inference from stochastic processes and prediction
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F10 Point estimation
62F03 Parametric hypothesis testing
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References:

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