Kalman-filtering methods for computing information matrices for time- invariant, periodic, and generally time-varying VARMA models and samples (Q1334708)
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scientific article; zbMATH DE number 643710
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| English | Kalman-filtering methods for computing information matrices for time- invariant, periodic, and generally time-varying VARMA models and samples |
scientific article; zbMATH DE number 643710 |
Statements
Kalman-filtering methods for computing information matrices for time- invariant, periodic, and generally time-varying VARMA models and samples (English)
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25 September 1994
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time-varying Gaussian vector autoregressive moving-average models
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state space representation
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inverse sample information matrix
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Cramer-Rao lower bound
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inverse asymptotic information matrix
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asymptotic covariance matrix
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recursive Kalman-filtering method
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nonrecursive method
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periodic VARMA models
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0.8909908533096313
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0.818666398525238
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0.8113419413566589
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