MLE vs Expectation Maximization to estimate time-changing parameters in state space model

by Fr1   Last Updated August 13, 2019 19:19 PM

Suppose I have a generic model in state-space form described as

$$x_{t+1}=\phi_{t} x_{t}+w_{t+1}\epsilon_{t+1}$$ $$y_{t}=H_{t}x_{t}+v_{t}e_{t+1}$$

where both $e_{t+1}$ and $\epsilon_{t+1}$ are iid orthogonal white nose. Notice that all the parameters in $\phi_{t}, H_{t}$ as well as in $Var(w_{t+1})$ and $Var(v_{t})$ are allowed to be time-varying. Suppose I know all the time-changing parameters, so I don't have to estimate them, except for $H_{t}$ and $v_{t}$, that are the time-changing parameters to be estimated.

Generally, in literature, I see that they use the Expectation Maximization algorithm to estimate the time-changing unknown parameters (a procedure like this pag. 17), which involves updating the estimates of the time-varying matrixes. However, why at least theoretically, not numerically, can't I use a simple MLE and define the estimated time-changing parameters as those set of matrixes $H_{t}$ and $v_{t}$ for t=1,...,T (where T is my sample size) that maximize the likelihood? Is there any theoretical countergument to do this? I am interested in a theoretical countergument, not a numerical one.

Thanks



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