Efficient matrix approach for classical inference in state space models

Davide Delle Monache and Ivan Petrella

Economics Letters, 2019, vol. 181, issue C, 22-27

Abstract: Reformulating a Gaussian state space model in matrix form, we obtain expressions for the likelihood function and the smoothing vector that are generally more efficient than the standard recursive algorithm. We also retrieve filtering weights and deal with data irregularities.

Keywords: State space models; Likelihood; State smoothing; Sparse matrices (search for similar items in EconPapers)
JEL-codes: C22 C32 C51 C53 C82 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:181:y:2019:i:c:p:22-27

DOI: 10.1016/j.econlet.2019.04.012

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