Analytic derivatives of the matrix exponential for estimation of linear continuous-time models.

DOI10.1016/S0165-1889(00)00012-9zbMath1077.62543WikidataQ127452154 ScholiaQ127452154MaRDI QIDQ5941448

Peter A. Zadrozny, Baoline Chen

Publication date: 20 August 2001

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (3)

ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG ⋮ The Jacobian of the exponential function ⋮ Recursions for the MMPP Score Vector and Observed Information Matrix

Cites Work

• Econometric estimation of a continuous time macroeconomic model of the United Kingdom with segmented trends
• Discrete time representation of stationary and non-stationary continuous time systems
• Analytic derivatives for estimation of linear dynamic models
• Numerical Computation of the Matrix Exponential with Accuracy Estimate
• Computing integrals involving the matrix exponential
• Nineteen Dubious Ways to Compute the Exponential of a Matrix
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Analytic derivatives of the matrix exponential for estimation of linear continuous-time models.