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Journal of Econometrics

Выпуск N3 за 1983 год

Опубликовано на портале: 06-04-2004
Robert F. Engle, Mark W. Watson Journal of Econometrics. 1983.  Vol. 23. No. 3. P. 385-400. 
This paper provides a general approach to the formulation and estimation of dynamic unobserved component models. After introducing the general model, two methods for estimating the unknown parameters are presented. Both are algorithms for maximizing the likelihood function. The first is based on the method of Scoring. The second is the EM algorithm, a derivative-free method. Each iteration of EM requires a Kalman filter and smoother followed by straightforward regression calculations. The paper suggests using the EM methods to quickly locate a neighborhood of the maximum. Scoring can then be used to pinpoint the maximum and calculate the information matrix.
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