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Publication:3343284
zbMath0551.62068MaRDI QIDQ3343284
Publication date: 1984
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kalman filtermaximum likelihood estimatesstate space representationexact likelihoodmultivariate ARMA modelimproved set of recursive equations
Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)
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The exact Gaussian likelihood estimation of time-dependent VARMA models ⋮ Analytical uses of Kalman filtering in econometrics — A survey ⋮ Exact maximum likelihood estimation of structured or unit root multivariate time series models ⋮ Exact maximum likelihood estimation of partially nonstationary vector ARMA models
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