A NOTE ON THE ESTIMATION OF VARIANCES IN STATE-SPACE MODELS USING THE MAXIMUM A-POSTERIORI PROCEDURE

被引：2

作者：

HARVEY, AC

PETERS, S

机构：

[1] Univ of London, London Sch of, Economics & Political Science,, Engl, Univ of London, London Sch of Economics & Political Science, Engl

来源：

关键词：

MAP ESTIMATION - MAXIMUM A POSTERIORI (MAP) PROCEDURE - MAXIMUM-LIKELIHOOD ESTIMATION - SHORTCOMINGS OF MAP PROCEDURE;

D O I：

10.1109/TAC.1985.1103813

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

引用

页码：1048 / 1050

页数：3

共 8 条

[1]

Box G.E.P., 1976, TIME SERIES ANAL

[2] MAXIMUM LIKELIHOOD FROM INCOMPLETE DATA VIA EM ALGORITHM [J].

DEMPSTER, AP ;

LAIRD, NM ;

RUBIN, DB .

JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-METHODOLOGICAL, 1977, 39 (01) :1-38

[3]

Hannan J., 2013, TECH NOTE, V43153

[4]

Harvey A.C., 1983, J BUSINESS EC STAT, V1, P299, DOI DOI 10.1080/07350015.1983.10509355

[5]

HARVEY AC, 1984, ESTIMATION PROCEDURE

[6]

SHUMWAY RH, 1984, LECTURE NOTES STATIS, V25, P290

TSANG, WL ;

GLOVER, JD ;

BACH, RE .

[8]

WATSON MW, 1983, J ECONOMETRICS, V23, P383