On computing the expected Fisher information matrix for state-space model parameters
type: Item
instance of: scholarly article
title: On computing the expected Fisher information matrix for state-space model parameters
zbMATH Open document ID: 0847.62078
DOI: 10.1016/0167-7152(95)00031-3
author: Joseph E. Cavanaugh
author: Robert H. Shumway
published in: Statistics \& Probability Letters
publication date: 1996-10-08T00:00:00Z
Mathematics Subject Classification ID: 62M20
zbMATH DE Number: 896044
zbMATH Keywords: EM algorithm
zbMATH Keywords: Kalman filter
zbMATH Keywords: times series
zbMATH Keywords: maximum likelihood estimates
zbMATH Keywords: simulation results
zbMATH Keywords: recursive algorithm
zbMATH Keywords: expected Fisher information matrix
zbMATH Keywords: state-space model parameters
MaRDI profile type: Publication
full work available at URL: 0167-7152(95)00031-3
OpenAlex ID: W1965458961
cites work: Q3827448
cites work: Evaluation of likelihood functions for Gaussian signals
cites work: Q3681765
cites work: AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
cites work: NOTE ON THE KALMAN FILTER WITH ESTIMATED PARAMETERS
description: scientific article; zbMATH DE number 896044