Analytical Score Function for Irregularly Sampled Continuous Time Stochastic Processes with Control Variables and Missing Values
The unknown structural parameters of a continuous/discrete state space model are estimated by maximum likelihood in the presence of irregular sampling, missing values, and cross-sections of time series (panel data). Exogenous (control) variables are included, and the sampling scheme and missing data pattern can be different for each variable and system. Furthermore, the derived non-linear optimization algorithm with analytical score function can be used for the discrete time case as well.
Year of publication: |
1995
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Authors: | Singer, Hermann |
Published in: |
Econometric Theory. - Cambridge University Press. - Vol. 11.1995, 04, p. 721-735
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Publisher: |
Cambridge University Press |
Description of contents: | Abstract [journals.cambridge.org] |
Saved in:
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