On computing the expected Fisher information matrix for state-space model parameters (Q1916158)

From MaRDI portal
scientific article
Language Label Description Also known as
English
On computing the expected Fisher information matrix for state-space model parameters
scientific article

    Statements

    On computing the expected Fisher information matrix for state-space model parameters (English)
    0 references
    0 references
    0 references
    8 October 1996
    0 references
    0 references
    EM algorithm
    0 references
    Kalman filter
    0 references
    times series
    0 references
    maximum likelihood estimates
    0 references
    simulation results
    0 references
    recursive algorithm
    0 references
    expected Fisher information matrix
    0 references
    state-space model parameters
    0 references
    0 references