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

Research output: Contribution to journalArticlepeer-review

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 1

Keywords

  • Score vector
  • State space model

ASJC Scopus subject areas

  • Statistics and Probability

Fingerprint Dive into the research topics of 'Explicit vector expression of exact score for time series models in state space form'. Together they form a unique fingerprint.

Cite this