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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

Authors


Publisher:
Biometrika Trust
Journal:
Biometrika
Volume:
79
Publication date:
1992-01-01
DOI:
ISSN:
0006-3444
Language:
English
UUID:
uuid:c4fdf5be-ca68-4eae-82a6-a564b4017f86
Local pid:
oai:economics.ouls.ox.ac.uk:13893
Deposit date:
2011-08-16

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