Comments on ``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: Comments on ``Kalman-filtering methods for computing information matrices for time-invariant, periodic, and generally time-varying VARMA models and samples''
zbMATH Open document ID: 0968.93079
DOI: 10.1016/S0898-1221(00)00168-1
author: J. Terceiro
publication date: 2000-11-13T00:00:00Z
review text: The author regards some results of \textit{P. A. Zadrozny} and \textit{S. Mittnik}: Kalman-filtering methods for computing information matrices for time-invariant, periodic, and generally time-varying VARMA models and samples, Comput. Math. Appl. 28, No. 4, 107-119 (1994; Zbl 0799.62100) in relation to \textit{J. Terceiro Lomba}: Estimation of dynamic econometric models with errors in variables, Lecture Notes in Economics and Mathematical Systems 339, Springer-Verlag, New York (1990; Zbl 0699.62103). Further, he treats several issues concerning the efficiency of the algorithm and the state-pace formulation of VARMA models.
reviewed by: Klaus Ehemann
Mathematics Subject Classification ID: 93E11
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 1528539
zbMATH Keywords: Kalman-filtering
zbMATH Keywords: information matrices
zbMATH Keywords: algorithm
zbMATH Keywords: state-pace formulation
MaRDI profile type: Publication
cites work: Kalman-filtering methods for computing information matrices for time- invariant, periodic, and generally time-varying VARMA models and samples
cites work: Estimation of dynamic econometric models with errors in variables
cites work: STATE SPACE MODELS WITH DIFFUSE INITIAL CONDITIONS
cites work: Fast projection methods for minimal design problems in linear system theory
cites work: Riccati equations in optimal filtering of nonstabilizable systems having singular state transition matrices
cites work: Q4840212
published in: Computers & Mathematics with Applications
description: scientific article; zbMATH DE number 1528539