Tag Archives: Time Series

Some notes on Kalman Filtering

State Space form Measurement Equation Transition Equation Future form

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LAN for Linear Processes

Consider a m-vector linear process where are i.i.d. m-vector random variables with p.d.f. on , are matrices depending on a parameter vector . Set Assume the following conditions are satisfied A1 i) For some where denotes the sum of the … Continue reading

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