A fast and stable method to compute the likelihood of time invariant state-space models-Reference-Cited by-同舟云学术

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A fast and stable method to compute the likelihood of time invariant state-space models

Published:1999-12 Issue:3 Volume:65 Page:329-337
ISSN:0165-1765
Container-title:Economics Letters
language:en
Short-container-title:Economics Letters

Author:

Casals José,Sotoca Sonia,Jerez Miguel

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference11 articles.

1. Optimal Filtering;Anderson,1979

2. State Space Modeling of Time Series;Aoki,1990

3. Factorization Methods For Discrete Sequential Estimation;Bierman,1977

4. Exact initial conditions for maximum likelihood estimation of state space models with stochastic inputs;Casals;Economics Letters,1997

5. Convergence properties of the Riccati difference equation in optimal filtering of nonstabilizable systems;Chan;IEEE Transactions on Automatic Control,1984

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