Kalman-filtering methods for computing information matrices for time- invariant, periodic, and generally time-varying VARMA models and samples (Q1334708): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 03:58, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Kalman-filtering methods for computing information matrices for time- invariant, periodic, and generally time-varying VARMA models and samples |
scientific article |
Statements
Kalman-filtering methods for computing information matrices for time- invariant, periodic, and generally time-varying VARMA models and samples (English)
0 references
25 September 1994
0 references
time-varying Gaussian vector autoregressive moving-average models
0 references
state space representation
0 references
inverse sample information matrix
0 references
Cramer-Rao lower bound
0 references
inverse asymptotic information matrix
0 references
asymptotic covariance matrix
0 references
recursive Kalman-filtering method
0 references
nonrecursive method
0 references
periodic VARMA models
0 references