EXACT SCORE FOR TIME-SERIES MODELS IN STATE-SPACE FORM

被引：23

作者：

KOOPMAN, SJ ^{[1
]}

SHEPHARD, N ^{[1
]}

机构：

[1] UNIV OXFORD NUFFIELD COLL,OXFORD OX1 1NF,ENGLAND

来源：

BIOMETRIKA | 1992年 / 79卷 / 04期

关键词：

EM ALGORITHM; KALMAN FILTER; SMOOTHING; UNOBSERVED COMPONENT;

D O I：

10.2307/2337237

中图分类号：

Q [生物科学];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

This paper shows that the score vector for Gaussian state space models takes on a simple form which can be computed in a single pass of the Kalman filter and a smoother.

引用

页码：823 / 826

页数：4

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