Journal article
Exact score for time series models in state space form
- Abstract:
- 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.
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- Publisher copy:
- 10.1093/biomet/79.4.823
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Authors
Bibliographic Details
- Publisher:
- Biometrika Trust
- Journal:
- Biometrika
- Volume:
- 79
- Publication date:
- 1992-01-01
- DOI:
- ISSN:
-
0006-3444
Item Description
- Language:
- English
- UUID:
-
uuid:c4fdf5be-ca68-4eae-82a6-a564b4017f86
- Local pid:
- oai:economics.ouls.ox.ac.uk:13893
- Deposit date:
- 2011-08-16
Related Items
Terms of use
- Copyright date:
- 1992
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