Exact score for time series models in state space form

This paper shows that the score vector for Gaussian state space models takes on a simple form which can be computed in a single pass of the Kalman filter and a smoother.

Bibliografiske detaljer
Main Authors:	Koopman, S, Shephard, N
Format:	Journal article
Sprog:	English
Udgivet:	Biometrika Trust 1992
Fag:	Economics Econometrics

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