Likelihood functions for state space models with diffuse initial conditions
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Publication:3103195
DOI10.1111/j.1467-9892.2010.00673.xzbMath1416.62487OpenAlexW3124126538MaRDI QIDQ3103195
Marc K. Francke, Siem Jan Koopman, Aart F. de Vos
Publication date: 26 November 2011
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00673.x
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)
Related Items (3)
Diffuse Kalman filtering with linear constraints on the state parameters ⋮ Minimally conditioned likelihood for a nonstationary state space model ⋮ Estimation of vector error correction models with mixed-frequency data
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