Efficient matrix approach for classical inference in state space models

C-Tier
Journal: Economics Letters
Year: 2019
Volume: 181
Issue: C
Pages: 22-27

Authors (2)

Delle Monache, Davide (not in RePEc) Petrella, Ivan (Centre for Economic Policy Res...)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Reformulating a Gaussian state space model in matrix form, we obtain expressions for the likelihood function and the smoothing vector that are generally more efficient than the standard recursive algorithm. We also retrieve filtering weights and deal with data irregularities.

Technical Details

RePEc Handle
repec:eee:ecolet:v:181:y:2019:i:c:p:22-27
Journal Field
General
Author Count
2
Added to Database
2026-01-25