A structured state space approach to computing the likelihood of an ARIMA process and its derivatives-Reference-Cited by-同舟云学术

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A structured state space approach to computing the likelihood of an ARIMA process and its derivatives

Published:1985-05 Issue:2 Volume:21 Page:135-169
ISSN:0094-9655
Container-title:Journal of Statistical Computation and Simulation
language:en
Short-container-title:Journal of Statistical Computation and Simulation

Author:

Ansley C.F.,Kohn R.

Publisher

Informa UK Limited

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Modeling and Simulation,Statistics and Probability

Link

http://www.tandfonline.com/doi/pdf/10.1080/00949658508810810

Reference13 articles.

1. Covariance matrix computation of the state variable of a stationary Gaussian process

2. An algorithm for the exact likelihood of a mixed autoregressive-moving average process

3. Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering

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