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.
| Những tác giả chính: | , |
|---|---|
| Định dạng: | Journal article |
| Ngôn ngữ: | English |
| Được phát hành: |
Biometrika Trust
1992
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