A NOTE ON SQUARE ROOT FILTERING FOR VECTOR AUTOREGRESSIVE MOVING‐AVERAGE MODELS

Craig F. Ansley and Robert Kohn ()

Journal of Time Series Analysis, 1990, vol. 11, issue 3, 181-183

Abstract: Abstract. A simplified version of the square root Kalman filter is obtained for a vector autoregressive moving‐average (VARMA) model. The algorithm is computationally more efficient that the standard square root algorithm and its output can be used to compute the likelihood of a VARMA model accurately.

Date: 1990
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:11:y:1990:i:3:p:181-183

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