Abstract
This paper proposes a method to seek initial distributions of parameters for a self-organizing state space model proposed by Kitagawa (J Am Stat Assoc 93:1203–1215, 1998). Our method is based on the simplex Nelder–Mead algorithm for solving nonlinear and discontinuous optimization problems. We show the effectiveness of our method by applying it to a linear Gaussian model, a linear non-Gaussian model, a nonlinear Gaussian model, and a stochastic volatility model.
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Yano, K. A self-organizing state space model and simplex initial distribution search. Computational Statistics 23, 197–216 (2008). https://doi.org/10.1007/s00180-007-0027-2
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DOI: https://doi.org/10.1007/s00180-007-0027-2