Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models (Q803700)
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scientific article; zbMATH DE number 4201429
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| English | Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models |
scientific article; zbMATH DE number 4201429 |
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Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models (English)
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1991
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autoregressive processes
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Kalman filter
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unconditional state-covariance matrix
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exact maximum-likelihood estimation of multivariate ARMA models
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state-space representations
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0.8764078
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0.8762371
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0.87537754
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0.8734816
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0.8690091
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