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swMATH17878MaRDI QIDQ29729FDOQ29729

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Cited In (14)

• Likelihood stabilization for ill-conditioned vector GARCH models
• Title not available (Why is that?)
• From general state-space to VARMAX models
• Unit roots and cointegration modelling through a family of flexible information criteria
• Exact initial conditions for maximum likelihood estimation of state space models with stochastic inputs
• A fast and stable method to compute the likelihood of time invariant state-space models.
• Fast estimation methods for time-series models in state–space form
• The exact likelihood for a state space model with stochastic inputs
• Estimating the system order by subspace methods
• TF-MIDAS: a transfer function based mixed-frequency model
• Decomposition of a state-space model with inputs
• An algorithm for the exact Fisher information matrix of vector ARMAX time series
• Stochastic and deterministic trend in state space models
• An Exact Multivariate Model-Based Structural Decomposition

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