Analytic derivatives for estimation of linear dynamic models
DOI10.1016/0898-1221(89)90106-5zbMath0684.62040OpenAlexW2739643621MaRDI QIDQ1825566
Publication date: 1989
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://www2.census.gov/ces/wp/1988/CES-WP-88-05.pdf
algorithmsasymptotic approximationmaximum likelihood estimatesNewton methodsHessian matrixCramér-Rao boundsasymptotic covariancesdiscrete-time, linear, dynamic models in state-space formexact Gaussian log-likelihood functionexact gradient vectorexact sample, information matrixlocal identifiability of parameters
Estimation in multivariate analysis (62H12) Applications of statistics (62P99) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Probabilistic methods, stochastic differential equations (65C99)
Related Items (12)
Cites Work
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