Minimally conditioned likelihood for a nonstationary state space model
نویسندگان
چکیده
منابع مشابه
Minimally conditioned likelihood for a nonstationary state space model
Computing the gaussian likelihood for a nonstationary state-space model is a difficult problem which has been tackled by the literature using two main strategies: data transformation and diffuse likelihood. The data transformation approach is cumbersome, as it requires nonstandard filtering. On the other hand, in some nontrivial cases the diffuse likelihood value depends on the scale of the dif...
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ژورنال
عنوان ژورنال: Mathematics and Computers in Simulation
سال: 2014
ISSN: 0378-4754
DOI: 10.1016/j.matcom.2013.10.006