Exact maximum-likelihood estimation of autoregressive models via the Kalman filter (Q899876): Difference between revisions

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+https://doi.org/10.1016/0165-1765(86)90231-4
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+W2058075133
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+The exact initial covariance matrix of the state vector of a general \(MA(q)\) process
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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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+Q3928088
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+Evaluation of likelihood functions for Gaussian signals
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+Q5626055
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