Comments on ``Kalman-filtering methods for computing information matrices for time-invariant, periodic, and generally time-varying VARMA models and samples

DOI10.1016/S0898-1221(00)00168-1zbMath0968.93079MaRDI QIDQ1586272

J. Terceiro

Publication date: 13 November 2000

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

zbMATH Keywords

algorithminformation matricesKalman-filteringstate-pace formulation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11)

Related Items (1)

The asymptotic and exact Fisher information matrices of a vector ARMA process

Cites Work

• Unnamed Item
• Fast projection methods for minimal design problems in linear system theory
• Estimation of dynamic econometric models with errors in variables
• Kalman-filtering methods for computing information matrices for time- invariant, periodic, and generally time-varying VARMA models and samples
• Riccati equations in optimal filtering of nonstabilizable systems having singular state transition matrices
• STATE SPACE MODELS WITH DIFFUSE INITIAL CONDITIONS

This page was built for publication: Comments on ``Kalman-filtering methods for computing information matrices for time-invariant, periodic, and generally time-varying VARMA models and samples