Fast likelihood evaluation and prediction for nonstationary state space models (Q4299488)
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scientific article; zbMATH DE number 600081
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fast likelihood evaluation and prediction for nonstationary state space models |
scientific article; zbMATH DE number 600081 |
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Fast likelihood evaluation and prediction for nonstationary state space models (English)
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4 July 1994
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diffuse
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likelihood
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nonstationarity
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prediction
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recursive procedure
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nonstationary state space models
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Kalman filter
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initialization
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ARIMA \((p,d,q)\)
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basic structural models
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