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Publication:3943865
zbMath0484.62100MaRDI QIDQ3943865
Garry D. A. Phillips, Andrew C. Harvey
Publication date: 1982
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kalman filtermaximum likelihood estimatesstate spacesmall sample propertiesfirst-order stationary autoregressive processesgeneralized least-squares two-step estimator
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)
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