A note on Kalman filtering for the seasonal moving average model

DOI10.1093/biomet/71.3.648zbMath0566.62082OpenAlexW1993558993MaRDI QIDQ3681792

Craig F. Ansley, Robert Kohn

Publication date: 1984

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/71.3.648

zbMATH Keywords

Kalman filterseasonal moving average model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Related Items (1)

Computing the likelihood and its dierivatives for a gaussian ARMA model

Uses Software

• AS 154

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