Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models (Q803700)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models |
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Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models (English)
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1991
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autoregressive processes
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Kalman filter
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unconditional state-covariance matrix
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exact maximum-likelihood estimation of multivariate ARMA models
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state-space representations
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