Efficient matrix approach for classical inference in state space models

DOI10.1016/j.econlet.2019.04.012zbMath1420.62377OpenAlexW2920903533MaRDI QIDQ2311132

Ivan Petrella, Davide Delle Monache

Publication date: 10 July 2019

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://wrap.warwick.ac.uk/115965/7/WRAP-efficient-matrix-approach-classical-inference-state-space-models-Petrella-2019.pdf

zbMATH Keywords

likelihoodsparse matricesstate space modelsstate smoothing

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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