Kalman-filtering methods for computing information matrices for time-invariant, periodic, and generally time-varying VARMA models and samples
暂无分享,去创建一个
[1] P. Dooren,et al. Numerical aspects of different Kalman filter implementations , 1986 .
[2] Gwilym M. Jenkins,et al. Time series analysis, forecasting and control , 1972 .
[3] Peter A. Zadrozny. Errata to “analytic derivatives for estimation of linear dynamic models” , 1992 .
[4] Bronwyn H Hall,et al. Estimation and Inference in Nonlinear Structural Models , 1974 .
[5] A. Laub. A schur method for solving algebraic Riccati equations , 1978, 1978 IEEE Conference on Decision and Control including the 17th Symposium on Adaptive Processes.
[6] J. Magnus,et al. Matrix Differential Calculus with Applications in Statistics and Econometrics (Revised Edition) , 1999 .
[7] Peter A. Zadrozny. Analytic Derivatives for Estimation of Linear Dynamic Models , 1988 .
[8] Peter A. Zadrozny. Analytic Derivatives for Estimation of Discrete-Time, , 1988 .
[9] S. Mittnik. Computing Theoretical Autocovariances of Multivariate Autoregressive Moving Average Models by Using a Block Levinson Method , 1993 .
[10] Gene H. Golub,et al. Matrix computations , 1983 .
[11] S. Mittnik. Computation of Theoretical Autocovariance Matrices of Multivariate Autoregressive Moving Average Time Series , 1990 .
[12] P. Caines. Linear Stochastic Systems , 1988 .
[13] Huibert Kwakernaak,et al. Linear Optimal Control Systems , 1972 .
[14] R. Todd,et al. Periodic linear-quadratic methods for modeling seasonality , 1989 .
[15] Masanobu Taniguchi,et al. A Central Limit Theorem of Stationary Processes and the Parameter Estimation of Linear Processes (時系列解析の推測 : 理論と応用) , 1981 .
[16] B. Anderson,et al. Optimal Filtering , 1979, IEEE Transactions on Systems, Man, and Cybernetics.
[17] Peter A. Zadrozny. Estimating A Multivariate Arma Model with Mixed-Frequency Data: An Application to Forecasting U.S. GNP at Monthly Intervals , 1990 .
[18] John E. Dennis,et al. Numerical methods for unconstrained optimization and nonlinear equations , 1983, Prentice Hall series in computational mathematics.
[19] Robert Kohn,et al. Exact likelihood of vector autoregressive-moving average process with missing or aggregated data , 1983 .
[20] Benjamin Friedlander,et al. Computation of the exact information matrix of Gaussian time series with stationary random components , 1985, 1985 24th IEEE Conference on Decision and Control.
[21] Richard H. Jones,et al. Maximum Likelihood Fitting of ARMA Models to Time Series With Missing Observations , 1980 .
[22] R. Kohn,et al. Estimation, Filtering, and Smoothing in State Space Models with Incompletely Specified Initial Conditions , 1985 .
[23] G. C. Tiao,et al. Hidden Periodic Autoregressive-Moving Average Models in Time Series Data, , 1980 .
[24] Jaime Terceiro Lomba. Estimation of Dynamic Econometric Models with Errors in Variables , 1990 .