Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models (Q803700)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models |
scientific article; zbMATH DE number 4201429
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models |
scientific article; zbMATH DE number 4201429 |
Statements
Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models (English)
0 references
1991
0 references
autoregressive processes
0 references
Kalman filter
0 references
unconditional state-covariance matrix
0 references
exact maximum-likelihood estimation of multivariate ARMA models
0 references
state-space representations
0 references
0 references
0 references
0.8764078
0 references
0.8762371
0 references
0.87537754
0 references
0.8734816
0 references
0.8690091
0 references
