A STRUCTURED STATE-SPACE APPROACH TO COMPUTING THE LIKELIHOOD OF AN ARIMA PROCESS AND ITS DERIVATIVES

[1] COVARIANCE-MATRIX COMPUTATION OF THE STATE VARIABLE OF A STATIONARY GAUSSIAN PROCESS [J]. ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 1978, 30 (03) : 499 - 504

[2] Anderson B., 1979, OPTIMAL FILTERING

[3] ALGORITHM FOR THE EXACT LIKELIHOOD OF A MIXED AUTOREGRESSIVE-MOVING AVERAGE PROCESS [J]. BIOMETRIKA, 1979, 66 (01) : 59 - 65

[4] Box G.E.P., 1976, TIME SERIES ANAL

[5] Gardener G., 1980, J R STAT SOC C-APPL, V29, P311, DOI DOI 10.2307/2346910

[6] ESTIMATING MISSING OBSERVATIONS IN ECONOMIC TIME-SERIES [J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1984, 79 (385) : 125 - 131

[7] HARVEY AC, 1983, LECTURE NOTES STATIS, V25, P108

[8] MAXIMUM-LIKELIHOOD FITTING OF ARMA MODELS TO TIME-SERIES WITH MISSING OBSERVATIONS [J]. TECHNOMETRICS, 1980, 22 (03) : 389 - 395

[9] KOHN R, 1984, COMPUTING DERIVATIVE

[10] KOHN R, 1984, ESTIMATION PREDICTIO

[1] COVARIANCE-MATRIX COMPUTATION OF THE STATE VARIABLE OF A STATIONARY GAUSSIAN PROCESS [J]. ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 1978, 30 (03) : 499 - 504

[2] Anderson B., 1979, OPTIMAL FILTERING

[3] ALGORITHM FOR THE EXACT LIKELIHOOD OF A MIXED AUTOREGRESSIVE-MOVING AVERAGE PROCESS [J]. BIOMETRIKA, 1979, 66 (01) : 59 - 65

[4] Box G.E.P., 1976, TIME SERIES ANAL

[5] Gardener G., 1980, J R STAT SOC C-APPL, V29, P311, DOI DOI 10.2307/2346910

[6] ESTIMATING MISSING OBSERVATIONS IN ECONOMIC TIME-SERIES [J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1984, 79 (385) : 125 - 131

[7] HARVEY AC, 1983, LECTURE NOTES STATIS, V25, P108

[8] MAXIMUM-LIKELIHOOD FITTING OF ARMA MODELS TO TIME-SERIES WITH MISSING OBSERVATIONS [J]. TECHNOMETRICS, 1980, 22 (03) : 389 - 395

[9] KOHN R, 1984, COMPUTING DERIVATIVE

[10] KOHN R, 1984, ESTIMATION PREDICTIO