An alternative derivation of the Kalman filter using the quasi-likelihood method

DOI10.1016/J.JSPI.2006.09.010zbMath1110.62124OpenAlexW2092022943MaRDI QIDQ880264

Yan-Xia Lin

Publication date: 15 May 2007

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2006.09.010

zbMATH Keywords

quasi-likelihoodquasi-likelihood estimatequasi-score estimating function

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Related Items (1)

Simple factor realized stochastic volatility models

Cites Work

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• Quasi-likelihood and its application. A general approach to optimal parameter estimation
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• Optimal estimating functions and wedderburn's quasi-likelihood
• Monte Carlo maximum likelihood estimation for non-Gaussian state space models
• Time Series Analysis of Repeated Surveys: The State-space Approach
• Linear Dynamic Recursive Estimation from the Viewpoint of Regresion Analysis

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