A structured state space approach to computing the likelihood of an ARIMA process and its derivatives (Q3727188): Difference between revisions
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Revision as of 14:36, 28 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A structured state space approach to computing the likelihood of an ARIMA process and its derivatives |
scientific article |
Statements
A structured state space approach to computing the likelihood of an ARIMA process and its derivatives (English)
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1985
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state space approach
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Kohn-Ansley likelihood
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general nonstationary Gaussian ARIMA process
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missing observations
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modified Kalman filter algorithm
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derivatives
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