Exact Negative Log-likelihood of ARMA models via Kalman Filtering

Versione 1.0.0.0 (3,66 KB) da Statovic
Computation of the exact negative log-likelihood of ARMA models using the Kalman Filter
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Aggiornato 24 lug 2008

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

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Statovic (2025). Exact Negative Log-likelihood of ARMA models via Kalman Filtering (https://it.mathworks.com/matlabcentral/fileexchange/20826-exact-negative-log-likelihood-of-arma-models-via-kalman-filtering), MATLAB Central File Exchange. Recuperato .

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1.0.0.0