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

  Date Added: September 06, 2013  |  Visits: 274

Exact Negative Log-likelihood of ARMA models via Kalman Filtering

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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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