Fast likelihood evaluation and prediction for nonstationary state space models

Fast likelihood evaluation and prediction for nonstationary state space models

10.1093/biomet/81.1.133

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Bibliographic Details
Main Authors: Jong, P.D., Chu-chun-lin, S.
Other Authors: DECISION SCIENCES
Format: Article
Published: 2013
Subjects:
ARIMA model
Basic structural model
Diffuse
Kalman filter
Likelihood
Nonstationarity
Prediction
State space
Online Access:http://scholarbank.nus.edu.sg/handle/10635/45035
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Institution: National University of Singapore

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http://scholarbank.nus.edu.sg/handle/10635/45035

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