The Library
Efficient matrix approach for classical inference in state space models
Tools
Delle Monache, Davide and Petrella, Ivan (2019) Efficient matrix approach for classical inference in state space models. Economics Letters, 181 . pp. 22-27. doi:10.1016/j.econlet.2019.04.012 ISSN 0165-1765.
|
PDF
WRAP-efficient-matrix-approach-classical-inference-state-space-models-Petrella-2019.pdf - Accepted Version - Requires a PDF viewer. Available under License Creative Commons Attribution Non-commercial No Derivatives 4.0. Download (825Kb) | Preview |
Official URL: https://doi.org/10.1016/j.econlet.2019.04.012
Abstract
Reformulating a Gaussian state space model in matrix form, we obtain expressions for the likelihood function and the smoothing vector that are generally more efficient than the standard recursive algorithm. We also retrieve filtering weights and deal with data irregularities.
Item Type: | Journal Article | ||||||||
---|---|---|---|---|---|---|---|---|---|
Subjects: | Q Science > QA Mathematics | ||||||||
Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
||||||||
Library of Congress Subject Headings (LCSH): | State-space methods, Recursive functions | ||||||||
Journal or Publication Title: | Economics Letters | ||||||||
Publisher: | Elsevier | ||||||||
ISSN: | 0165-1765 | ||||||||
Official Date: | August 2019 | ||||||||
Dates: |
|
||||||||
Volume: | 181 | ||||||||
Page Range: | pp. 22-27 | ||||||||
DOI: | 10.1016/j.econlet.2019.04.012 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||
Date of first compliant deposit: | 10 April 2019 | ||||||||
Date of first compliant Open Access: | 26 October 2020 | ||||||||
Related URLs: |
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |
Downloads
Downloads per month over past year