COVARIANCES FOR FIXED INTERVAL SMOOTHED KALMAN FILTER PARAMETER ESTIMATES (Q3198757)
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scientific article; zbMATH DE number 4174187
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| English | COVARIANCES FOR FIXED INTERVAL SMOOTHED KALMAN FILTER PARAMETER ESTIMATES |
scientific article; zbMATH DE number 4174187 |
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COVARIANCES FOR FIXED INTERVAL SMOOTHED KALMAN FILTER PARAMETER ESTIMATES (English)
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1990
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EM-algorithm
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time series data
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non-autocorrelated innovations
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Kalman filter fixed interval smoothing equations
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fixed interval best linear unbiased estimates
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conditional covariances
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expectation-maximisation
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exact maximum likelihood parameter estimates for ARMA processes
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0.8258976340293884
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0.7633470892906189
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0.7610337734222412
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0.7558957934379578
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