Abstract
This paper proposes a method to seek initial distributions of parameters for a self-organizing state space model proposed by Kitagawa (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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