Exact maximum-likelihood estimation of autoregressive models via the Kalman filter (Q899876): Difference between revisions
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| Property / cites work: The exact initial covariance matrix of the state vector of a general \(MA(q)\) process / rank | |||
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| Property / cites work: Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering / rank | |||
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| Property / cites work: Q3928088 / rank | |||
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| Property / cites work: Evaluation of likelihood functions for Gaussian signals / rank | |||
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Latest revision as of 06:09, 11 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Exact maximum-likelihood estimation of autoregressive models via the Kalman filter |
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Exact maximum-likelihood estimation of autoregressive models via the Kalman filter (English)
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1 January 2016
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