The ARMA model in state space form

Statistics and Probability Letters

Volumn 70, Issue 1, 2004, Pages 119-125

  de Jong, Piet ^a   Penzer, Jeremy ^b  

^a MACQUARIE UNIVERSITY   (Australia)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Filter steady state; Kalman filter smoother; State space model; Time series

Indexed keywords

EID: 4944221819     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spl.2004.08.006     Document Type: Article

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