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.
| প্রধান লেখক: | , |
|---|---|
| বিন্যাস: | Journal article |
| ভাষা: | English |
| প্রকাশিত: |
Biometrika Trust
1992
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| বিষয়গুলি: |
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