A note on parameter differentiation of matrix exponentials, with applications to continuous-time modelling

Bernoulli

Volumn 9, Issue 5, 2003, Pages 895-919

  Tsai, Henghsiu ^a   Chan, K S ^b  

^a INSTITUTE OF STATISTICAL SCIENCE   (Taiwan)

^b UNIVERSITY OF IOWA   (United States)

Author keywords

CARMA models; Cayley Hamilton theorem; Finite state space continuous time Markov chain; Maximum likelihood estimation; Transition intensity matrix

Indexed keywords

EID: 33747371124     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.3150/bj/1066418883     Document Type: Article

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