Exact score for time series models in state space form
- 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.
- Publication status:
- Peer review status:
- Peer reviewed
- Publisher copy:
- Copyright holder:
- Biometrika Trust
- Copyright date:
- The full-text of this article is not currently available in ORA. Citation: Koopman, S. J. & Shephard, N. (1992). 'Exact score for time series models in state space form', Biometrika, 79(40, 823-826. [Available at http://biomet.oxfordjournals.org/].
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