ABSTRACT

Jones (1984) and Jones and Tryon (1987) considered a class of state space models for handling multivariate observations at unequally spaced times. Also included is the situation where some of the multivariate observations are missing. For example, if three variables are measured at each observation time, sometimes one or two of the three variables may be unobserved. The most general model considered in the paper, in state space form, was () https://www.w3.org/1998/Math/MathML"> d [ s ( t ) μ ]    = [ A 0 0 0 ]       [ s ( t ) μ ]   d t   + [ G d w ( t ) 0 ] , https://s3-euw1-ap-pe-df-pch-content-public-u.s3.eu-west-1.amazonaws.com/9780203748640/4fa687a6-cf95-4be5-a509-4d5b776421ec/content/eq766.tif" xmlns:xlink="https://www.w3.org/1999/xlink"/>