Explicit vector expression of exact score for time series models in state space form

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

Koopman and Shephard (1992). [1] and Segal and Weinstein (1989). [4] propose a formula for calculating the exact score vector for a general form of linear Gaussian state space models. However, for applying their method, one needs to calculate the derivatives of functions with respect to vectors and matrices, which can be intractable in many practical cases. Koopman and Shephard (1992). [1] derive its explicit expression only for a particular case. In this note, we complement Koopman and Shephard (1992). [1] and Segal and Weinstein. [4] by deriving an explicit vector expression of the exact score vector for the general form of linear Gaussian state space models.

Original languageEnglish
Pages (from-to)69-74
Number of pages6
JournalStatistical Methodology
Volume13
DOIs
Publication statusPublished - 2013 Jul

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Space Form
Time Series Models
State Space
Gaussian Model
State-space Model
Complement
Calculate
Derivative
Form

Keywords

  • Score vector
  • State space model

ASJC Scopus subject areas

  • Statistics and Probability

Cite this

Explicit vector expression of exact score for time series models in state space form. / Nagakura, Daisuke.

In: Statistical Methodology, Vol. 13, 07.2013, p. 69-74.

Research output: Contribution to journalArticle

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