Computing the likelihood and its dierivatives for a gaussian ARMA model (Q3742545): Difference between revisions

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+https://doi.org/10.1080/00949658508810849
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+W2084289000
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+Covariance matrix computation of the state variable of a stationary Gaussian process
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+An algorithm for the exact likelihood of a mixed autoregressive-moving average process
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+Maximum likelihood estimation of parameters in multivariate Gaussian stochastic processes (Corresp.)
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+Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering
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+A note on Kalman filtering for the seasonal moving average model
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+Q4060751
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+Symmetric decmposition of positive definite band matrices
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+Algorithm AS 197: A Fast Algorithm for the Exact Likelihood of Autoregressive-Moving Average Models
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+Some new algorithms for recursive estimation in constant, linear, discrete-time systems
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+Evaluation of likelihood functions for Gaussian signals
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+Some efficient computational procedures for high order ARMA models
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