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A NOTE ON SQUARE ROOT FILTERING FOR VECTOR AUTOREGRESSIVE MOVING‐AVERAGE MODELS
Author(s) -
Ansley Craig F.,
Kohn Robert
Publication year - 1990
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1990.tb00050.x
Subject(s) - mathematics , autoregressive model , autoregressive–moving average model , square root , kalman filter , root mean square , square (algebra) , moving average , root (linguistics) , statistics , algorithm , geometry , linguistics , philosophy , electrical engineering , engineering
. A simplified version of the square root Kalman filter is obtained for a vector autoregressive moving‐average (VARMA) model. The algorithm is computationally more efficient that the standard square root algorithm and its output can be used to compute the likelihood of a VARMA model accurately.