A note on parameter differentiation of matrix exponentials, with applications to continuous-time modelling
From MaRDI portal
Publication:1431523
DOI10.3150/bj/1066418883zbMath1053.62009OpenAlexW2106824547MaRDI QIDQ1431523
Publication date: 10 June 2004
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3150/bj/1066418883
maximum likelihood estimationCayley-Hamilton theoremCARMA modelsfinite-state-space continuous-time Markov chaintransition intensity matrix
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Foundations and philosophical topics in statistics (62A01) Inference from stochastic processes (62M99) Calculus of vector functions (26B12) Basic linear algebra (15A99) Functions of several variables (26B99)
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