Exact Negative Log-likelihood of ARMA models via Kalman Filtering 1.0

Date Added: September 06, 2013 | Visits: 556

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Several functions for evaluating the exact negative log-likelihood of ARMA models in O(n) time using the Kalman Filter.

Requirements: No special requirements

Platforms: Matlab

Keyword: Evaluating, Exact, Filter, Functions, Kalman, Loglikelihood, Models, Negative

Users rating: 0/10

License: Shareware

Size: 10 KB

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