Computing exact score vectors for linear Gaussian state space models

DOI10.1080/03610918.2019.1601216zbMath1497.62135OpenAlexW2941865280WikidataQ128028821 ScholiaQ128028821MaRDI QIDQ5082701

Daisuke Nagakura

Publication date: 21 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2019.1601216

zbMATH Keywords

score testrecursive formulainitial conditionstate space modelscore vector

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Signal detection and filtering (aspects of stochastic processes) (60G35) Basic linear algebra (15A99)

Cites Work

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• The commutation matrix: Some properties and applications
• Explicit vector expression of exact score for time series models in state space form
• Some results on commutation matrices, with statistical applications
• A new method for evaluating the log-likelihood gradient, the Hessian, and the Fisher information matrix for linear dynamic systems
• Analytic first and second derivatives for the recursive prediction error algorithm's log likelihood function

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