Computing exact score vectors for linear Gaussian state space models
From MaRDI portal
(Redirected from Publication:5082701)
Recommendations
- Explicit vector expression of exact score for time series models in state space form
- Computation of the exact information matrix of Gaussian dynamic regression time series models
- The exact likelihood for a state space model with stochastic inputs
- Computing the exact Fisher information matrix of periodic state-space models
- Particle approximations of the score and observed information matrix in state space models with application to parameter estimation
Cites work
- A new method for evaluating the log-likelihood gradient, the Hessian, and the Fisher information matrix for linear dynamic systems
- Analytic first and second derivatives for the recursive prediction error algorithm's log likelihood function
- Explicit vector expression of exact score for time series models in state space form
- scientific article; zbMATH DE number 1261669 (Why is no real title available?)
- scientific article; zbMATH DE number 1898277 (Why is no real title available?)
- Some results on commutation matrices, with statistical applications
- The commutation matrix: Some properties and applications
Cited in
(2)
This page was built for publication: Computing exact score vectors for linear Gaussian state space models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5082701)
