Kalman-filtering methods for computing information matrices for time- invariant, periodic, and generally time-varying VARMA models and samples
type: Item
instance of: scholarly article
title: Kalman-filtering methods for computing information matrices for time- invariant, periodic, and generally time-varying VARMA models and samples
zbMATH Open document ID: 0799.62100
DOI: 10.1016/0898-1221(94)00132-4
author: Stefan Mittnik
author: Peter A. Zadrozny
publication date: 1994-09-25T00:00:00Z
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 65C99
zbMATH DE Number: 643710
zbMATH Keywords: time-varying Gaussian vector autoregressive moving-average models
zbMATH Keywords: state space representation
zbMATH Keywords: inverse sample information matrix
zbMATH Keywords: Cramer-Rao lower bound
zbMATH Keywords: inverse asymptotic information matrix
zbMATH Keywords: asymptotic covariance matrix
zbMATH Keywords: recursive Kalman-filtering method
zbMATH Keywords: nonrecursive method
zbMATH Keywords: periodic VARMA models
MaRDI profile type: Publication
full work available at URL: 0898-1221(94)00132-4
OpenAlex ID: W2022955795
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published in: Computers & Mathematics with Applications
description: scientific article; zbMATH DE number 643710