Efficient matrix approach for classical inference in state space models
Year of publication: |
2019
|
---|---|
Authors: | Delle Monache, Davide ; Petrella, Ivan |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 181.2019, p. 22-27
|
Subject: | Likelihood | Sparse matrices | State smoothing | State space models | Theorie | Theory | Zustandsraummodell | State space model | Zeitreihenanalyse | Time series analysis |
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