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Exact Negative Log-likelihood of ARMA models via Kalman Filtering

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Computation of the exact negative log-likelihood of ARMA models using the Kalman Filter

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

Comments and Ratings (3)

Nathan Zhang

the program is well written, but i believe the state space representation is wrong.
Though the implemented part is as mentioned in the refernce paper still , I argue about the 'R' in arma_ConvertToSS

Taking the MA parameters directly is not the proper representation.
instead R=[ c1-a1;c2- a2-( c1-a1);.....];

' SPECTRAL ESTIMATION FOR NOISY SIGNALS OBSERVED THROUGH A LINEAR SYSTEM' Check this paper

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