Linear Models

Víctor Gómez
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Víctor Gómez: Ministerio de Hacienda y Administraciones Públicas Dirección Gral. de Presupuestos, Subdirección Gral. de Análisis y P.E.

Chapter Chapter 2 in Multivariate Time Series With Linear State Space Structure, 2016, pp 61-111 from Springer

Abstract: Abstract In this chapter, the linear model and several estimators are introduced. Several definitions of the likelihood are given for a linear model. The signal extraction problem is introduced and the solution for the smoothing and filtering problems are presented for certain special cases. The recursive least square procedure is described and several algorithms are given to implement it.

Keywords: Ordinary Little Square; Random Vector; Covariance Matrice; Marginal Likelihood; Recursive Little Square (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-28599-3_2

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DOI: 10.1007/978-3-319-28599-3_2

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