Fast likelihood evaluation and prediction for nonstationary state space models期刊界 All Journals 搜尽天下杂志传播学术成果专业期刊搜索期刊信息化学术搜索

Fast likelihood evaluation and prediction for nonstationary state space models

Authors:	JONG, PIET DE CHU-CHUN-LIN, SINGFAT

Affiliation:	¹Faculty of Commerce & Business Administration, University of British Columbia Vancouver, British Columbia V6T1Z2, Canada ²Department of Decision Sciences, Faculty of Business Administration, National University of Singapore 10 Kent Ridge Crescent, Singapore 0511

Abstract:

Keywords:	ARIMA model Basic structural model Diffuse Kalman filter Likelihood Nonstationarity Prediction State space
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