Exact Negative Log-likelihood of ARMA models via Kalman Filtering

Version 1.0.0.0 (3.66 KB) by Statovic
Computation of the exact negative log-likelihood of ARMA models using the Kalman Filter
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Updated 24 Jul 2008

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Several functions for evaluating the exact negative log-likelihood of ARMA models in O(n) time using the Kalman Filter.

Cite As

Statovic (2024). Exact Negative Log-likelihood of ARMA models via Kalman Filtering (https://www.mathworks.com/matlabcentral/fileexchange/20826-exact-negative-log-likelihood-of-arma-models-via-kalman-filtering), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2007a
Compatible with any release
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Version Published Release Notes
1.0.0.0