THE LIKELIHOOD FOR A STATE-SPACE MODEL

[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] ESTIMATION, FILTERING, AND SMOOTHING IN STATE-SPACE MODELS WITH INCOMPLETELY SPECIFIED INITIAL CONDITIONS [J]. ANNALS OF STATISTICS, 1985, 13 (04) : 1286 - 1316

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

[5] MAXIMUM LIKELIHOOD ESTIMATION OF REGRESSION-MODELS WITH AUTOREGRESSIVE-MOVING AVERAGE DISTURBANCES [J]. BIOMETRIKA, 1979, 66 (01) : 49 - 58

[6] Harvey AC., 1981, TIME SERIES MODELS

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

[8] EXACT LIKELIHOOD FUNCTION FOR A MIXED AUTOREGRESSIVE-MOVING AVERAGE PROCESS [J]. BIOMETRIKA, 1974, 61 (03) : 423 - 426

[9] ROSENBERG B, 1973, ANN ECON SOC MEAS, V2, P399

[10] Schweppe F, 1973, UNCERTAIN DYNAMIC SY

[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] ESTIMATION, FILTERING, AND SMOOTHING IN STATE-SPACE MODELS WITH INCOMPLETELY SPECIFIED INITIAL CONDITIONS [J]. ANNALS OF STATISTICS, 1985, 13 (04) : 1286 - 1316

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

[5] MAXIMUM LIKELIHOOD ESTIMATION OF REGRESSION-MODELS WITH AUTOREGRESSIVE-MOVING AVERAGE DISTURBANCES [J]. BIOMETRIKA, 1979, 66 (01) : 49 - 58

[6] Harvey AC., 1981, TIME SERIES MODELS

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

[8] EXACT LIKELIHOOD FUNCTION FOR A MIXED AUTOREGRESSIVE-MOVING AVERAGE PROCESS [J]. BIOMETRIKA, 1974, 61 (03) : 423 - 426

[9] ROSENBERG B, 1973, ANN ECON SOC MEAS, V2, P399

[10] Schweppe F, 1973, UNCERTAIN DYNAMIC SY