算法AS 154：利用卡尔曼滤波对自回归移动平均模型进行精确最大似然估计的算法

Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering

Journal of the Royal Statistical Society. Series C: Applied Statistics · 1980
被引 184
ABS 3

中文导读

提出一种利用卡尔曼滤波精确估计自回归移动平均模型参数的算法，适用于时间序列分析中的模型拟合与预测。

Abstract

G. Gardner, A. C. Harvey, G. D. A. Phillips, Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering, Journal of the Royal Statistical Society. Series C (Applied Statistics), Vol. 29, No. 3 (1980), pp. 311-322

时间序列分析卡尔曼滤波最大似然估计自回归移动平均模型统计计算
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