| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1153906 | Statistics & Probability Letters | 2006 | 6 Pages |
Abstract
An algorithm is presented for computing alternative expressions for the covariance matrix of the QML estimators for a stationary linear non-Gaussian state space model. We develop expressions for higher order theoretical autocovariances and Kalman filter recursions. A simulation study assesses the accuracy of the alternative approximations.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Demetrios Papanastassiou,