Econometrics Paper

Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.)

Siem Jan Koopman and N.G. Shephard

The score vector for a time series model which fits into the Gaussian state space form can be approximated by numerically differentiating the log-likelihood. If the parameter vector is of length p, this involves the runn...Read more...