A fast and stable method to compute the likelihood of time invariant state-space models
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 65 (1999)
Issue (Month): 3 (December)
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Casals, Jose & Sotoca, Sonia, 1997. "Exact initial conditions for maximum likelihood estimation of state space models with stochastic inputs," Economics Letters, Elsevier, vol. 57(3), pages 261-267, December.
- Watson, Mark W., 1989. "Recursive solution methods for dynamic linear rational expectations models," Journal of Econometrics, Elsevier, vol. 41(1), pages 65-89, May.
- Ursu, Eugen & Duchesne, Pierre, 2009. "On multiplicative seasonal modelling for vector time series," Statistics & Probability Letters, Elsevier, vol. 79(19), pages 2045-2052, October.
- Alfredo García-Hiernaux & José Casals & Miguel Jerez, 2012.
"Estimating the system order by subspace methods,"
Springer, vol. 27(3), pages 411-425, September.
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