A direct derivation of the exact Fisher information matrix of Gaussian vector state space models
نویسندگان
چکیده
منابع مشابه
A Direct Derivation of the Exact Fisher Information Matrix for Bivariate Bessel Distribution of Type I
This paper deals with a direct derivation of Fisher’s information matrix for bivariate Bessel distribution of type I. Some tools for the numerical computation and some tabulations of the Fisher’s information matrix are provided.
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The likelihood function of a general non-linear, non-Gaussian state space model is a highdimensional integral with no closed-form solution. In this paper, I show how to calculate the likelihood function exactly for a large class of non-Gaussian state space models that includes stochastic intensity, stochastic volatility, and stochastic duration models among others. The state variables in this c...
متن کاملAPPENDIX: A Class of Non-Gaussian State Space Models with Exact Likelihood Inference
This appendix contains definitions of the distributions used throughout the paper, derivations of the full conditional distributions, and other details not included in the paper.
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ژورنال
عنوان ژورنال: Linear Algebra and its Applications
سال: 2000
ISSN: 0024-3795
DOI: 10.1016/s0024-3795(99)00177-9