Maximum Likelihood Estimation of VARMA Models Using a State‐Space EM Algorithm

By Konstantinos Metaxoglou, Aaron Smith. 2007

47 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Control and Systems Engineering, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/207e0da2d207c4437435c567275cde67a0302939

Citations in the corpus

• MARSS: Multivariate Autoregressive State-space Models for Analyzing Time-series Data (2012, unknown): “For certain types of multivariate state-space models , an alternative maximization algorithm exists; though generally slower for most models, the EMalgorithm (Metaxoglou and Smith, 2007; Shumway and Stoffer, 1982), is considerably more robust than direct search routines (this is particularly evident”